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<SEC-DOCUMENT>0000930413-04-003156.txt : 20040702
<SEC-HEADER>0000930413-04-003156.hdr.sgml : 20040702
<ACCEPTANCE-DATETIME>20040701194310
ACCESSION NUMBER:		0000930413-04-003156
CONFORMED SUBMISSION TYPE:	N-CSRS
PUBLIC DOCUMENT COUNT:		7
CONFORMED PERIOD OF REPORT:	20040430
FILED AS OF DATE:		20040702
EFFECTIVENESS DATE:		20040702

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			BLACKROCK LIMITED DURATION INCOME TRUST
		CENTRAL INDEX KEY:			0001233681
		IRS NUMBER:				200096695
		STATE OF INCORPORATION:			DE
		FISCAL YEAR END:			1031

	FILING VALUES:
		FORM TYPE:		N-CSRS
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-21349
		FILM NUMBER:		04896738

	BUSINESS ADDRESS:	
		STREET 1:		100 BELLEVUE PARKWAY
		STREET 2:		MUTUAL FUND DEPARTMENT
		CITY:			WILMINGTON
		STATE:			DE
		ZIP:			19809
		BUSINESS PHONE:		302-797-2449

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	BLACKROCK MANAGED DURATION INCOME TRUST
		DATE OF NAME CHANGE:	20030529

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	BLACKROCK MANAGED DURATION TRUST
		DATE OF NAME CHANGE:	20030516
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-CSRS
<SEQUENCE>1
<FILENAME>c32732_n-csrs.htm
<TEXT>
<HTML>
<HEAD>
<TITLE> </TITLE>
</HEAD>
<BODY bgcolor=#ffffff>

<p align=center><font size=2>UNITED STATES<br>SECURITIES AND EXCHANGE COMMISSION<br>Washington, D.C. 20549</font></p>
<p align=center><font size=4><B>FORM N-CSR</B></font></p>
<p align=center><font size=2><B>CERTIFIED SHAREHOLDER REPORT OF REGISTERED</B><br>
  <strong>MANAGEMENT INVESTMENT COMPANIES</strong></font></p>
<p align=center><font size=2>Investment Company Act file number:__<u>811-21349</u>____________________________________</font></p>
<p align=center><font size=2>_______________________<u>The BlackRock Limited Duration Income Trust</u>________________</font></p>
<p align=center><font size=2>(Exact name of registrant as specified in charter)</font></p>
<div align="center">
  <table width=65% cellspacing=0 cellpadding=0>
    <tr>
      <td valign=bottom align=left width=385><font size=2>100 Bellevue Parkway, Wilmington, DE</font></td>
      <td width="42">&nbsp;</td>
      <td width="151" align=left valign=bottom><font size=2>19809</font></td>
    </tr>
    <tr>
      <td colspan="3" align=left valign=bottom>_______________________________________________________________________</td>
    </tr>
    <tr><td valign=bottom align=left width=385><font size=2>(Address of principal executive offices)</font></td>
      <td>&nbsp;</td>
      <td valign=bottom align=left><font size=2>(Zip code)</font></td>
    </tr>
  </table>
  <br>
</div>
<p align=center><font size=2>Robert S. Kapito, President</font></p>
<p align=center><font size=2>The BlackRock Limited Duration Income Trust </font></p>
<p align=center><font size=2>_________________________<u>40 East 52nd Street, New York, NY 10022</u>_________________________<br>
(Name and address of agent for service)</font></p>
<p align=left><font size=2>Registrant&#146;s telephone number, including area code:_<u>302 797-2162</u>__________________</font></p>
<p align=left><font size=2>Date of fiscal year end:____<u>October 31, 2004</u>__________________________________</font></p>
<p align=left><font size=2>Date of reporting period:&nbsp;__<u>  April 30, 2004</u>____________________________________</font></p>

<CENTER>
<HR noshade align=center width=100% size=2>
<PAGE>

<table width=100% cellspacing=0 cellpadding=0 border=0><tr><td valign=top width=60><font size=2><b>Item 1.</b></font></td>
<td valign=top><font size=2><b>Reports to Shareholders.</b></font></td></tr></table><br>
<p align=left><font size=2>The Trust&#146;s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:</font></p>
<p align=left>&nbsp;</p>
<P>
<FONT size=1 face="sans-serif">FIXED INCOME&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIQUIDITY&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;EQUITIES&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ALTERNATIVES&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BLACKROCK SOLUTIONS</FONT>
</P>
<P>
<FONT size=5 face="sans-serif">BlackRock <br>
Closed-End Funds <br>
Semi-Annual Report</FONT>
</P>
<P>
<FONT size=2 face="sans-serif">APRIL 30, 2004 (UNAUDITED)</FONT>
</P>
<hr noshade>
<P>&nbsp;</P>
<P>
<FONT size=2 face="sans-serif"> BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT) </FONT></P>
<P><FONT size=2 face="sans-serif">BlackRock Core Bond Trust (BHK) </FONT></P>
<P><FONT size=2 face="sans-serif">BlackRock High Yield Trust (BHY) </FONT></P>
<P><FONT size=2 face="sans-serif">BlackRock Income Opportunity Trust (BNA) </FONT></P>
<P><FONT size=2 face="sans-serif">BlackRock Income Trust Inc. (BKT) </FONT></P>
<P><FONT size=2 face="sans-serif">BlackRock Limited
Duration Income Trust (BLW) </FONT></P>
<P><FONT size=2 face="sans-serif">BlackRock Strategic Bond Trust (BHD)</FONT>
</P>
<P>&nbsp;</P>
<P>&nbsp;</P>
<P>&nbsp;</P>
<P>&nbsp;</P>
<P>&nbsp;</P>
<P>&nbsp;</P>
<P>&nbsp;</P>
<P align="right">
<IMG SRC="c32732_ncsrsx1x1.jpg" BORDER="0">
</P>
<P>
<FONT size=1 face="sans-serif">NOT FDIC INSURED <br>
MAY LOSE VALUE <br>
NO BANK GUARANTEE</FONT></P>

</CENTER><br><HR noshade align=center width=100% size=2>
<PAGE>

<A NAME="page_3"></A>

<P align="center">
<B><FONT face="serif">TABLE OF CONTENTS</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD><FONT face="serif">Letter to Shareholders</FONT></TD>
   <TD align="right" width="6%"><FONT face="serif">1</FONT></TD>
   <TD width="5%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT face="serif">Trust Summaries</FONT></TD>
   <TD align="right" width="6%"><FONT face="serif">2</FONT></TD>
   <TD width="5%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT face="serif">Portfolios of Investments</FONT></TD>
   <TD align="right" width="6%"><FONT face="serif">9</FONT></TD>
   <TD width="5%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT face="serif">Financial Statements</FONT></TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT face="serif">Statements of Assets and Liabilities</FONT></TD>
   <TD align="right" width="6%"><FONT face="serif">47</FONT></TD>
   <TD width="5%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT face="serif">Statements of Operations</FONT></TD>
   <TD align="right" width="6%"><FONT face="serif">49</FONT></TD>
   <TD width="5%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT face="serif">Statements of Cash Flows</FONT></TD>
   <TD align="right" width="6%"><FONT face="serif">51</FONT></TD>
   <TD width="5%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT face="serif">Statements of Changes in Net Assets</FONT></TD>
   <TD align="right" width="6%"><FONT face="serif">53</FONT></TD>
   <TD width="5%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT face="serif">Financial Highlights</FONT></TD>
   <TD align="right" width="6%"><FONT face="serif">56</FONT></TD>
   <TD width="5%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT face="serif">Notes to Financial Statements</FONT></TD>
   <TD align="right" width="6%"><FONT face="serif">63</FONT></TD>
   <TD width="5%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT face="serif">Dividend Reinvestment Plans</FONT></TD>
   <TD align="right" width="6%"><FONT face="serif">74</FONT></TD>
   <TD width="5%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT face="serif">Additional Information</FONT></TD>
   <TD align="right" width="6%"><FONT face="serif">75</FONT></TD>
   <TD width="5%">&nbsp;</TD>
</TR>
</TABLE>
<p>&nbsp;</p>
<hr noshade>
<P align="center"><B><FONT size=2 face="serif">Privacy Principles of the Trusts</FONT></B>
</P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">The Trusts are committed to maintaining the privacy of shareholders and to safeguarding their non-public personal information. The following information is provided to help you understand what
personal information the Trusts collect, how we protect that information and why, in certain cases, we may share information with select other parties.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Generally, the Trusts do not receive any non-public personal information relating to their shareholders, although certain non-public personal information of shareholders may become available to
the Trusts. The Trusts do not disclose any non-public personal information about their shareholders or former shareholders to anyone, except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer
agent or third party administrator).</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">The Trusts restrict access to non-public personal information about their shareholders to BlackRock employees with a legitimate business need for the information. The Trusts maintain physical,
electronic and procedural safeguards designed to protect the non-public personal information of their shareholders.</FONT></P>

<hr noshade>
<p>&nbsp;</p>
<HR noshade align="center" width="100%" size=2>

<PAGE>
<A NAME="page_5"></A>

<P align="center">
<B><FONT face="serif">LETTER TO SHAREHOLDERS</FONT></B>
</P>
<P align="right">
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">April 30, 2004</FONT></P>
<P><FONT size=2 face="serif">Dear Shareholder:</FONT></P>
<P><FONT size=2 face="serif"> We are pleased to report that during the semi-annual period, the Trusts provided monthly income, as well as the opportunity to invest in various portfolios of
    fixed income securities. This report contains the Trusts&#146; unaudited financial statements and a listing of the portfolios&#146; holdings.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">The portfolio management team continuously monitors the fixed income markets and adjusts the portfolios in order to gain exposure to various issuers and security types. This strategy enables
the Trusts to move among different sectors, credits and coupons to capitalize on changing market conditions.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">The following table shows the Trusts&#146; yields, closing market prices per share and net asset values (&#147;NAV&#148;) per share as of April 30, 2004.</FONT></P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
  <TD width="66%" align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
  <TD align="center" colspan=3><HR noshade size=1></TD>
  <TD align="center" colspan=3><HR noshade size=1></TD>
</TR>
<TR>
   <TD align="center">&nbsp;&nbsp;&nbsp;<B><FONT size=2 face="serif">Trust</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Yield</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Market Price</FONT></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">NAV</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD width="6%"><HR noshade size=1></TD>
   <TD width="3%"><HR noshade size=1></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD width="5%"><HR noshade size=1></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD width="3%"><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">5.75</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD width="6%"><div align="right"><FONT size=2 face="serif">$</FONT></div></TD>
   <TD width="4%" align="right"><FONT size=2 face="serif">15.65</FONT></TD>
   <TD>&nbsp;</TD>
   <TD width="3%"><div align="right"><FONT size=2 face="serif">$</FONT></div></TD>
   <TD width="4%" align="right"><FONT size=2 face="serif">15.75</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">BlackRock Core Bond Trust (BHK)</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">8.02</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">13.09</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">14.62</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">BlackRock High Yield Trust (BHY)</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">10.56</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9.56</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7.77</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">BlackRock Income Opportunity Trust (BNA)</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">7.92</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10.61</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11.93</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">BlackRock Income Trust Inc. (BKT)</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">8.78</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.98</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.99</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">BlackRock Limited Duration Income Trust (BLW)</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">7.97</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">18.82</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">19.85</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">BlackRock Strategic Bond Trust (BHD)</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">10.61</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">14.70</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">15.16</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD align="right"><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD align="right"><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD align="right"><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<P>
<SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Yield is based on market price.</FONT>
</P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">BlackRock, Inc. (&#147;BlackRock&#148;), a world leader in asset management, has a proven commitment to fixed income. As of March 31, 2004, BlackRock managed $225 billion in bonds, including 18
open-end and 47 closed-end bond funds. BlackRock is recognized for its emphasis on risk management and proprietary analytics and for its reputation managing money for the world&#146;s largest institutional investors. BlackRock Advisors, Inc., which
manages the Trusts, is a wholly-owned subsidiary of BlackRock, Inc.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">On behalf of BlackRock, we thank you for your continued trust and assure you that we remain committed to excellence in managing your assets.</FONT></P>
<P>
<FONT size=2 face="serif">Sincerely,</FONT>
</P>
<table width="100%"  border="0" cellspacing="0" cellpadding="0">
  <tr valign="bottom">
    <td width="50%"><IMG SRC="c32732_ncsrsx5x1.jpg" BORDER="0"> <font size=2 face="serif"><br>
    Laurence D. Fink <br>
    Chief Executive Officer <br>
    BlackRock Advisors, Inc.</font> </td>
    <td width="50%"><p><IMG SRC="c32732_ncsrsx5x2.jpg" BORDER="0"> <br>
      <font size=2 face="serif">Ralph L. Schlosstein <br>
    President <br>
    BlackRock Advisors, Inc.</font> </p>    </td>
  </tr>
</table>
<P>&nbsp;
</P>
<P>&nbsp;</P>
<P>&nbsp;
</P>
<P align="center">
<FONT size=2 face="serif">1</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_6"></A>



<A NAME="page_7"></A>


<P>
<B><FONT face="serif">TRUST SUMMARIES (unaudited) <br>
APRIL 30, 2004</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)</FONT></B>
</P>
<P align="center">
<B><FONT size=2 face="serif">Trust Information</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
  <TD width="83%"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Symbol on American Stock Exchange:</FONT></TD>
   <TD colspan=2 align="center"><FONT size=2 face="serif">BCT</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Initial Offering Date:</FONT></TD>
   <TD colspan=2 align="center"><FONT size=2 face="serif">June 17, 1993</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Closing Market Price as of 4/30/04:</FONT></TD>
   <TD align="right" width="10%"><FONT size=2 face="serif">$15.65</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net Asset Value as of 4/30/04:</FONT></TD>
   <TD align="right" width="10%"><FONT size=2 face="serif">$15.75</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Yield on Closing Market Price as of 4/30/04 ($15.65):</FONT><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
   <TD align="right" width="10%"><FONT size=2 face="serif">5.75</FONT></TD>
   <TD width="7%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><hr noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Current Monthly Distribution per Share:</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD align="right" width="10%"><FONT size=2 face="serif">$0.075</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Current Annualized Distribution per Share:</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD align="right" width="10%"><FONT size=2 face="serif">$0.900</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<P>
<SUP><FONT size=1 face="serif">1 </FONT></SUP><FONT size=1 face="serif">Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price.<br>
 </FONT><SUP><FONT size=1 face="serif">2
</FONT></SUP><FONT size=1 face="serif">The distribution is not constant and is subject to change.</FONT>
</P>
<P>
<FONT size=2 face="serif">The table below summarizes the changes in the Trust&#146;s market price and NAV:</FONT>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
  <TD width="24%">&nbsp;</TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">4/30/04</FONT></B></TD>
   <TD align="center"><B><FONT size=2 face="serif">10/31/03</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Change</FONT></B></TD>
   <TD align="center"><B><FONT size=2 face="serif">High</FONT></B></TD>
   <TD align="center"><B><FONT size=2 face="serif">Low</FONT></B></TD>
  </TR>

<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD width="9%"><HR noshade size=1></TD>
   <TD width="6%"><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Market Price</FONT></TD>
   <TD width="11%" align="right"><div align="center"><FONT size=2 face="serif">$15.65</FONT></div></TD>
   <TD width="13%" align="right"><div align="center"><FONT size=2 face="serif">$15.85</FONT></div></TD>
   <TD align="right"><FONT size=2 face="serif">(1.26</FONT></TD>
   <TD><FONT size=2 face="serif">)%</FONT></TD>
   <TD width="10%" align="center"><FONT size=2 face="serif">$16.52</FONT></TD>
   <TD width="10%" align="center"><FONT size=2 face="serif">$15.20</FONT></TD>
  </TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR align="center" size=1 noshade></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">NAV</FONT></TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">$15.75</FONT></div></TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">$16.02</FONT></div></TD>
   <TD align="right"><FONT size=2 face="serif">(1.69</FONT></TD>
   <TD><FONT size=2 face="serif">)%</FONT></TD>
   <TD align="center"><FONT size=2 face="serif">$16.58</FONT></TD>
   <TD align="center"><FONT size=2 face="serif">$15.68</FONT></TD>
  </TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P>
<FONT size=2 face="serif">The following charts show the asset composition and credit quality allocations of the Trust&#146;s long-term investments:</FONT>
</P>
<P align="center">
<B><FONT size=2 face="serif">Sector Breakdown</FONT></B>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Composition</FONT></B></div></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">April 30, 2004</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">October 31, 2003</FONT></B></TD>
  </TR>
<TR>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">U.S. Government and Agency Securities</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">60</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">56</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Agency Multiple Class Mortgage Pass-Throughs</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">11</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Interest Only Mortgage-Backed Securities</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">9</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Corporate Bonds</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">7</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Taxable Municipal Bonds</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">5</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Inverse Floating Rate Mortgages</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">5</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Commercial Mortgage-Backed Securities</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Mortgage Pass-Throughs</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Other</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
</TABLE>
<P align="center">
<B><FONT size=2 face="serif">Corporate Credit Breakdown</FONT></B><B><SUP><FONT size=2 face="serif">3</FONT></SUP></B>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
  <TD width="60%"><HR noshade size=1></TD>
  <TD width="9%"><HR noshade size=1></TD>
  <TD width="9%"><HR noshade size=1></TD>
  <TD width="12%"><HR noshade size=1></TD>
  <TD width="10%"><HR noshade size=1></TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Credit Rating</FONT></B></div></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">April 30, 2004</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">October 31, 2003</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">AA/Aa</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">38</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">35</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">A</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">37</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">43</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">BBB/Baa</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">23</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">21</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">CCC/Caa</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<SUP><FONT size=1 face="serif">3 </FONT></SUP><FONT size=1 face="serif">Using the higher of Standard &amp; Poor&#146;s (&#147;S&amp;P&#148;), Moody&#146;s Investors Service (&#147;Moody&#146;s&#148;) or Fitch Ratings (&#147;Fitch&#148;) rating.
Corporate bonds represented approximately 9.9% and 11.0% of net assets on April 30, 2004, and October 31, 2003, respectively.</FONT>
<P align="center">
<FONT size=2 face="serif">2</FONT>
</P>

<HR noshade align="center" width="100%" size=2>


<PAGE>

<A NAME="page_9"></A>

<P>
<B><FONT face="serif">TRUST SUMMARIES (unaudited) <br>
APRIL 30, 2004</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock Core Bond Trust (BHK)</FONT></B>
</P>
<P align="center">
<B><FONT size=2 face="serif">Trust Information</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
  <TD><HR noshade size=1></TD>
  <TD colspan="2"><HR noshade size=1></TD>
</TR>
<TR>
   <TD width="80%"><FONT size=2 face="serif">Symbol on New York Stock Exchange:</FONT></TD>
   <TD colspan="2"><div align="center"><FONT size=2 face="serif">BHK</FONT></div></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Initial Offering Date:</FONT></TD>
   <TD colspan=2 align="center"><FONT size=2 face="serif">November 27, 2001</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Closing Market Price as of 4/30/04:</FONT></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">$13.09</FONT></TD>
   <TD width="8%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net Asset Value as of 4/30/04:</FONT></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">$14.62</FONT></TD>
   <TD width="8%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Yield on Closing Market Price as of 4/30/04 ($13.09):</FONT><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">8.02</FONT></TD>
   <TD width="8%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Current Monthly Distribution per Share:</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">$0.0875</FONT></TD>
   <TD width="8%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Current Annualized Distribution per Share:</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">$1.0500</FONT></TD>
   <TD width="8%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<P>
<SUP><FONT size=1 face="serif">1 </FONT></SUP><FONT size=1 face="serif">Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price.<br>
 </FONT><SUP><FONT size=1 face="serif">2
</FONT></SUP><FONT size=1 face="serif">The distribution is not constant and is subject to change.</FONT>
</P>
<P>
<FONT size=2 face="serif">The table below summarizes the changes in the Trust&#146;s market price and NAV:</FONT>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
  <TD>&nbsp;</TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD width="35%">&nbsp;</TD>
   <TD align="center" width="12%"><B><FONT size=2 face="serif">4/30/04</FONT></B></TD>
   <TD align="center" width="12%"><B><FONT size=2 face="serif">10/31/03</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Change</FONT></B></TD>
   <TD align="center" width="12%"><B><FONT size=2 face="serif">High</FONT></B></TD>
   <TD align="center" width="12%"><B><FONT size=2 face="serif">Low</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Market Price</FONT></TD>
   <TD align="right" width="12%"><div align="center"><FONT size=2 face="serif">$13.09</FONT></div></TD>
   <TD align="right" width="12%"><div align="center"><FONT size=2 face="serif">$13.57</FONT></div></TD>
   <TD align="right" width="10%"><FONT size=2 face="serif">(3.54</FONT></TD>
   <TD width="7%"><FONT size=2 face="serif">)%</FONT></TD>
   <TD align="center" width="12%"><FONT size=2 face="serif">$14.50</FONT></TD>
   <TD align="center" width="12%"><FONT size=2 face="serif">$12.99</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR align="center" size=1 noshade></TD>
   <TD><HR align="center" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">NAV</FONT></TD>
   <TD align="right" width="12%"><div align="center"><FONT size=2 face="serif">$14.62</FONT></div></TD>
   <TD align="right" width="12%"><div align="center"><FONT size=2 face="serif">$14.75</FONT></div></TD>
   <TD align="right" width="10%"><FONT size=2 face="serif">(0.88</FONT></TD>
   <TD width="7%"><FONT size=2 face="serif">)%</FONT></TD>
   <TD align="center" width="12%"><FONT size=2 face="serif">$15.45</FONT></TD>
   <TD align="center" width="12%"><FONT size=2 face="serif">$14.59</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P>
<FONT size=2 face="serif">The following charts show the asset composition and credit quality allocations of the Trust&#146;s long-term investments:</FONT>
</P>
<P align="center">
<B><FONT size=2 face="serif">Sector Breakdown</FONT></B>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
  <TR>
    <TD><HR noshade size=1></TD>
    <TD><HR noshade size=1></TD>
    <TD><HR noshade size=1></TD>
    <TD><HR noshade size=1></TD>
    <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Composition</FONT></B></div></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">April 30, 2004</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">October 31, 2003</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Corporate Bonds</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">40</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">46</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">U.S. Government and Agency Securities</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">36</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">16</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Mortgage Pass-Throughs</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">16</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">26</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Foreign Government Bonds</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">4</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Interest Only Mortgage-Backed Securities</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Commercial Mortgage-Backed Securities</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Asset Backed Securities</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Taxable Municipal Bonds</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<P align="center">
<B><FONT size=2 face="serif">Corporate Credit Breakdown</FONT></B><B><SUP><FONT size=2 face="serif">3</FONT></SUP></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
  <TD width="56%" align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Credit Rating</FONT></B></div></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">April 30, 2004</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">October 31, 2003</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">AAA/Aaa</FONT></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">3</FONT></TD>
   <TD width="9%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">3</FONT></TD>
   <TD width="11%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">AA/Aa</FONT></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">15</FONT></TD>
   <TD width="9%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">11</FONT></TD>
   <TD width="11%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">A</FONT></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">27</FONT></TD>
   <TD width="9%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">25</FONT></TD>
   <TD width="11%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">BBB/Baa</FONT></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">18</FONT></TD>
   <TD width="9%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">21</FONT></TD>
   <TD width="11%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">BB/Ba</FONT></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">12</FONT></TD>
   <TD width="9%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">12</FONT></TD>
   <TD width="11%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">B</FONT></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">20</FONT></TD>
   <TD width="9%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">23</FONT></TD>
   <TD width="11%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">CCC/Caa</FONT></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">4</FONT></TD>
   <TD width="9%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">5</FONT></TD>
   <TD width="11%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Not Rated</FONT></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">1</FONT></TD>
   <TD width="9%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD width="11%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<SUP><FONT size=1 face="serif">3 </FONT></SUP><FONT size=1 face="serif">Using the higher of S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating. Corporate bonds represented approximately 61.2% and 61.6% of net assets on April 30, 2004, and October
31, 2003, respectively.</FONT>
<P align="center">
<FONT size=2 face="serif">3</FONT>
</P>

<HR noshade align="center" width="100%" size=2>


<PAGE>
<A NAME="page_11"></A>

<P>
<B><FONT face="serif">TRUST SUMMARIES (unaudited) <br>
APRIL 30, 2004</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock High Yield Trust (BHY)</FONT></B>
</P>
<P align="center">
<B><FONT size=2 face="serif">Trust Information</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
  <TD><HR noshade size=1></TD>
  <TD colspan=2 align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD width="81%"><FONT size=2 face="serif">Symbol on New York Stock Exchange:</FONT></TD>
   <TD colspan=2 align="center"><FONT size=2 face="serif">BHY</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Initial Offering Date:</FONT></TD>
   <TD colspan=2 align="center"><FONT size=2 face="serif">December 23, 1998</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Closing Market Price as of 4/30/04:</FONT></TD>
   <TD align="right" width="8%">&nbsp;</TD>
   <TD width="11%"><font size=2 face="serif">$9.56</font></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net Asset Value as of 4/30/04:</FONT></TD>
   <TD align="right" width="8%">&nbsp;</TD>
   <TD width="11%"><font size=2 face="serif">$7.77</font></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Yield on Closing Market Price as of 4/30/04 ($9.56):</FONT><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
   <TD align="right" width="8%">&nbsp;</TD>
   <TD width="11%"><FONT size=2 face="serif">10.56%</FONT></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Current Monthly Distribution per Share:</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD align="right" width="8%">&nbsp;</TD>
   <TD width="11%"><font size=2 face="serif">$0.084167</font></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Current Annualized Distribution per Share:</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD align="right" width="8%">&nbsp;</TD>
   <TD width="11%"><font size=2 face="serif">$1.010004</font></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<P>
<SUP><FONT size=1 face="serif">1 </FONT></SUP><FONT size=1 face="serif">Yield on closing market price is calculated by dividing the annualized distribution per share by the closing market price. </FONT><SUP><FONT size=1 face="serif"><br>
2
</FONT></SUP><FONT size=1 face="serif">The distribution is not constant and is subject to change.</FONT>
</P>
<P>
<FONT size=2 face="serif">The table below summarizes the changes in the Trust&#146;s market price and NAV:</FONT>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
  <TD width="37%">&nbsp;</TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">4/30/04</FONT></B></TD>
   <TD align="center" width="14%"><B><FONT size=2 face="serif">10/31/03</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Change</FONT></B></TD>
   <TD align="center" width="13%"><B><FONT size=2 face="serif">High</FONT></B></TD>
   <TD align="center" width="11%"><B><FONT size=2 face="serif">Low</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Market Price</FONT></TD>
   <TD align="right" width="13%"><div align="center"><FONT size=2 face="serif">$9.56</FONT></div></TD>
   <TD align="right" width="14%"><div align="center"><FONT size=2 face="serif">$10.25</FONT></div></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">(6.73</FONT></TD>
   <TD width="5%"><FONT size=2 face="serif">)%</FONT></TD>
   <TD align="right" width="13%"><div align="center"><FONT size=2 face="serif">$11.75</FONT></div></TD>
   <TD align="center" width="11%"><FONT size=2 face="serif">$9.56</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR align="center" size=1 noshade></TD>
   <TD><HR align="center" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR align="center" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">NAV</FONT></TD>
   <TD align="right" width="13%"><div align="center"><FONT size=2 face="serif">$7.77</FONT></div></TD>
   <TD align="right" width="14%"><div align="center"><FONT size=2 face="serif">$6.96</FONT></div></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">11.64</FONT></TD>
   <TD width="5%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" width="13%"><div align="center"><FONT size=2 face="serif">$7.83</FONT></div></TD>
   <TD align="center" width="11%"><FONT size=2 face="serif">$6.80</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P>
<FONT size=2 face="serif">The following charts show the asset composition and credit quality allocations of the Trust&#146;s corporate bond investments:</FONT>
</P>
<P align="center">
<B><FONT size=2 face="serif">Corporate Sector Breakdown</FONT></B>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
  <TD align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Composition</FONT></B></div></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">April 30, 2004</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">October 31, 2003</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Finance &amp; Banking</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">13</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">12</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Media</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">13</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Consumer Products</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">11</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Energy</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">9</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Chemical</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">7</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Telecommunication</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">6</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Electronics</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">6</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Industrial Equipment</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">6</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Container &amp; Glass</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">5</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Transportation</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">5</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Home Furnishing</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Automotive</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Health Care</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Aero &amp; Defense</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Ecological Services &amp; Equipment</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Building &amp; Development</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Conglomerates</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Other</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<P align="center">
<B><FONT size=2 face="serif">Corporate Credit Breakdown</FONT></B><B><SUP><FONT size=2 face="serif">3</FONT></SUP></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
  <TD width="50%" align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Credit Rating</FONT></B></div></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">April 30, 2004</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">October 31, 2003</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">BBB/Baa</FONT></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">2</FONT></TD>
   <TD width="11%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" width="14%"><FONT size=2 face="serif">3</FONT></TD>
   <TD width="13%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">BB/Ba</FONT></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">17</FONT></TD>
   <TD width="11%">&nbsp;</TD>
   <TD align="right" width="14%"><FONT size=2 face="serif">12</FONT></TD>
   <TD width="13%">&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">B</FONT></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">50</FONT></TD>
   <TD width="11%">&nbsp;</TD>
   <TD align="right" width="14%"><FONT size=2 face="serif">52</FONT></TD>
   <TD width="13%">&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">CCC/Caa</FONT></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">29</FONT></TD>
   <TD width="11%">&nbsp;</TD>
   <TD align="right" width="14%"><FONT size=2 face="serif">25</FONT></TD>
   <TD width="13%">&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">CC/Ca</FONT></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">1</FONT></TD>
   <TD width="11%">&nbsp;</TD>
   <TD align="right" width="14%"><FONT size=2 face="serif">5</FONT></TD>
   <TD width="13%">&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Not Rated</FONT></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">1</FONT></TD>
   <TD width="11%">&nbsp;</TD>
   <TD align="right" width="14%"><FONT size=2 face="serif">3</FONT></TD>
   <TD width="13%">&nbsp;</TD>
</TR>
<TR>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<SUP><FONT size=1 face="serif">3 </FONT></SUP><FONT size=1 face="serif">Using the higher of S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating. Corporate bonds represented approximately 115.3% and 135.4% of net assets on April 30, 2004, and October
31, 2003, respectively.</FONT>
<P align="center">
<FONT size=2 face="serif">4</FONT>
</P>

<HR noshade align="center" width="100%" size=2>

<PAGE>
<A NAME="page_13"></A>

<P>
<B><FONT face="serif">TRUST SUMMARIES (unaudited) <br>
APRIL 30, 2004</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock Income Opportunity Trust (BNA)</FONT></B>
</P>
<P align="center">
<B><FONT size=2 face="serif">Trust Information</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
  <TD><HR noshade size=1></TD>
  <TD colspan=2 align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD width="83%"><FONT size=2 face="serif">Symbol on New York Stock Exchange:</FONT></TD>
   <TD colspan=2 align="center"><FONT size=2 face="serif">BNA</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Initial Offering Date:</FONT></TD>
   <TD colspan=2 align="center"><FONT size=2 face="serif">December 20, 1991</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Closing Market Price as of 4/30/04:</FONT></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">$10.61</FONT></TD>
   <TD width="6%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net Asset Value as of 4/30/04:</FONT></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">$11.93</FONT></TD>
   <TD width="6%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Yield on Closing Market Price as of 4/30/04 ($10.61):</FONT><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">7.92</FONT></TD>
   <TD width="6%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Current Monthly Distribution per Share:</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">$0.07</FONT></TD>
   <TD width="6%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Current Annualized Distribution per Share:</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">$0.84</FONT></TD>
   <TD width="6%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<P>
<SUP><FONT size=1 face="serif">1 </FONT></SUP><FONT size=1 face="serif">Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price.<br>
 </FONT><SUP><FONT size=1 face="serif">2
</FONT></SUP><FONT size=1 face="serif">The distribution is not constant and is subject to change.</FONT>
</P>
<P>
<FONT size=2 face="serif">The table below summarizes the changes in the Trust&#146;s market price and NAV:</FONT>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
  <TD>&nbsp;</TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD width="35%">&nbsp;</TD>
   <TD align="center" width="14%"><B><FONT size=2 face="serif">4/30/04</FONT></B></TD>
   <TD align="center" width="14%"><B><FONT size=2 face="serif">10/31/03</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Change</FONT></B></TD>
   <TD align="center" width="12%"><B><FONT size=2 face="serif">High</FONT></B></TD>
   <TD align="center" width="12%"><B><FONT size=2 face="serif">Low</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Market Price</FONT></TD>
   <TD align="right" width="14%"><div align="center"><FONT size=2 face="serif">$10.61</FONT></div></TD>
   <TD align="right" width="14%"><div align="center"><FONT size=2 face="serif">$10.95</FONT></div></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">(3.11</FONT></TD>
   <TD width="5%"><FONT size=2 face="serif">)%</FONT></TD>
   <TD align="center" width="12%"><FONT size=2 face="serif">$11.63</FONT></TD>
   <TD align="center" width="12%"><FONT size=2 face="serif">$10.53</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR align="center" size=1 noshade></TD>
   <TD><HR align="center" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">NAV</FONT></TD>
   <TD align="right" width="14%"><div align="center"><FONT size=2 face="serif">$11.93</FONT></div></TD>
   <TD align="right" width="14%"><div align="center"><FONT size=2 face="serif">$11.93</FONT></div></TD>
   <TD width="8%"><div align="right"><FONT size=2 face="serif">&#151;</FONT></div></TD>
   <TD width="5%"><font size=2 face="serif">%</font></TD>
   <TD align="center" width="12%"><FONT size=2 face="serif">$12.40</FONT></TD>
   <TD align="center" width="12%"><FONT size=2 face="serif">$11.82</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P>
<FONT size=2 face="serif">The following charts show the asset composition and credit quality allocations of the Trust&#146;s long-term investments:</FONT>
</P>
<P align="center">
<B><FONT size=2 face="serif">Sector Breakdown</FONT></B>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
  <TD align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Composition</FONT></B></div></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">April 30, 2004</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">October 31, 2003</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Corporate Bonds</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">53</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">59</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Mortgage Pass-Throughs</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">23</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">29</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">U.S. Government and Agency Securities</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">16</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Interest Only Mortgage-Backed Securities</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">4</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Federal Housing Administration</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Asset-Backed Securities</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Inverse Floating Rate Mortgages</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Foreign Government Bonds</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<P align="center">
<B><FONT size=2 face="serif">Corporate Credit Breakdown</FONT></B><B><SUP><FONT size=2 face="serif">3</FONT></SUP></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
  <TD width="56%" align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Credit Rating</FONT></B></div></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">April 30, 2004</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">October 31, 2003</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">AAA/Aaa</FONT></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">5</FONT></TD>
   <TD width="9%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">6</FONT></TD>
   <TD width="11%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">AA/Aa</FONT></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">12</FONT></TD>
   <TD width="9%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">12</FONT></TD>
   <TD width="11%">&nbsp;</TD>

</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">A</FONT></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">23</FONT></TD>
   <TD width="9%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">22</FONT></TD>
   <TD width="11%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">BBB/Baa</FONT></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">21</FONT></TD>
   <TD width="9%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">19</FONT></TD>
   <TD width="11%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">BB/Ba</FONT></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">15</FONT></TD>
   <TD width="9%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">17</FONT></TD>
   <TD width="11%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">B</FONT></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">21</FONT></TD>
   <TD width="9%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">22</FONT></TD>
   <TD width="11%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">CCC/Caa</FONT></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">3</FONT></TD>
   <TD width="9%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">2</FONT></TD>
   <TD width="11%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<SUP><FONT size=1 face="serif">3 </FONT></SUP><FONT size=1 face="serif">Using the higher of S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating. Corporate bonds represented approximately 66.2% and 71.2% of net assets on April 30, 2004, and October
31, 2003, respectively.</FONT>
<P align="center">
<FONT size=2 face="serif">5</FONT>
</P>

<HR noshade align="center" width="100%" size=2>

<PAGE>

<A NAME="page_15"></A>

<P>
<B><FONT face="serif">TRUST SUMMARIES (unaudited) <br>
APRIL 30, 2004</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock Income Trust Inc. (BKT)</FONT></B>
</P>
<P align="center">
<B><FONT size=2 face="serif">Trust Information</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
  <TD><HR noshade size=1></TD>
  <TD align="center" colspan=2><HR noshade size=1></TD>
</TR>
<TR>
   <TD width="82%"><FONT size=2 face="serif">Symbol on New York Stock Exchange:</FONT></TD>
   <TD align="center" colspan=2><FONT size=2 face="serif">BKT</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Initial Offering Date:</FONT></TD>
   <TD align="center" colspan=2><FONT size=2 face="serif">July 22, 1988</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Closing Market Price as of 4/30/04:</FONT></TD>
   <TD align="right" width="8%">&nbsp;</TD>
   <TD width="10%"><font size=2 face="serif">$6.98</font></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net Asset Value as of 4/30/04:</FONT></TD>
   <TD align="right" width="8%">&nbsp;</TD>
   <TD width="10%"><font size=2 face="serif">$6.99</font></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Yield on Closing Market Price as of 4/30/04 ($6.98):</FONT><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
   <TD align="right" width="8%">&nbsp;</TD>
   <TD width="10%"><FONT size=2 face="serif">8.78%</FONT></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Current Monthly Distribution per Share:</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD align="right" width="8%">&nbsp;</TD>
   <TD width="10%"><font size=2 face="serif">$0.051042</font></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Current Annualized Distribution per Share:</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD align="right" width="8%">&nbsp;</TD>
   <TD width="10%"><font size=2 face="serif">$0.612504</font></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<P>
<SUP><FONT size=1 face="serif">1 </FONT></SUP><FONT size=1 face="serif">Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. </FONT><SUP><FONT size=1 face="serif"><br>
2
</FONT></SUP><FONT size=1 face="serif">The distribution is not constant and is subject to change.</FONT>
</P>
<P>
<FONT size=2 face="serif">The table below summarizes the changes in the Trust&#146;s market price and NAV:</FONT>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
  <TD>&nbsp;</TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD width="38%">&nbsp;</TD>
   <TD align="center" width="15%"><B><FONT size=2 face="serif">4/30/04</FONT></B></TD>
   <TD align="center" width="12%"><B><FONT size=2 face="serif">10/31/03</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Change</FONT></B></TD>
   <TD align="center" width="11%"><B><FONT size=2 face="serif">High</FONT></B></TD>
   <TD align="center" width="11%"><B><FONT size=2 face="serif">Low</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Market Price</FONT></TD>
   <TD align="right" width="15%"><div align="center"><FONT size=2 face="serif">$6.98</FONT></div></TD>
   <TD align="right" width="12%"><div align="center"><FONT size=2 face="serif">$7.71</FONT></div></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">(9.47</FONT></TD>
   <TD width="5%"><FONT size=2 face="serif">)%</FONT></TD>
   <TD align="center" width="11%"><FONT size=2 face="serif">$7.96</FONT></TD>
   <TD align="center" width="11%"><FONT size=2 face="serif">$6.93</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR align="center" size=1 noshade></TD>
   <TD><HR align="center" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">NAV</FONT></TD>
   <TD align="right" width="15%"><div align="center"><FONT size=2 face="serif">$6.99</FONT></div></TD>
   <TD align="right" width="12%"><div align="center"><FONT size=2 face="serif">$7.21</FONT></div></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">(3.05</FONT></TD>
   <TD width="5%"><FONT size=2 face="serif">)%</FONT></TD>
   <TD align="center" width="11%"><FONT size=2 face="serif">$7.25</FONT></TD>
   <TD align="center" width="11%"><FONT size=2 face="serif">$6.99</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P>
<FONT size=2 face="serif">The following chart shows the asset composition of the Trust&#146;s long-term investments: </FONT>
</P>
<P align="center">
<B><FONT size=2 face="serif">Sector Breakdown</FONT></B>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
  <TD align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Composition</FONT></B></div></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">April 30, 2004</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">October 31, 2003</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">U.S. Government and Agency Securities</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">35</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">30</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Mortgage Pass-Throughs</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">23</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">32</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Interest Only Mortgage-Backed Securities</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">13</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">15</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Principal Only Mortgage-Backed Securities</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">9</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Agency Multiple Class Mortgage Pass-Throughs</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">7</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Collateralized Mortgage Obligation Residuals</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">6</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Inverse Floating Rate Mortgages</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Federal Housing Administration</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Commercial Mortgage-Backed Securities</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Asset-Backed Securities</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">6</FONT>
</P>

<HR noshade align="center" width="100%" size=2>

<PAGE>

<A NAME="page_17"></A>

<P>
<B><FONT face="serif">TRUST SUMMARIES (unaudited) <br>
APRIL 30, 2004</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock Limited Duration Income Trust (BLW)</FONT></B>
</P>
<P align="center">
<B><FONT size=2 face="serif">Trust Information</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
  <TD width="83%"><HR noshade size=1></TD>
  <TD colspan=2 align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Symbol on New York Stock Exchange:</FONT></TD>
   <TD colspan=2 align="center"><FONT size=2 face="serif">BLW</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Initial Offering Date:</FONT></TD>
   <TD colspan=2 align="center"><FONT size=2 face="serif">July 30, 2003</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Closing Market Price as of 4/30/04:</FONT></TD>
   <TD align="right" width="10%"><FONT size=2 face="serif">$18.82</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net Asset Value as of 4/30/04:</FONT></TD>
   <TD align="right" width="10%"><FONT size=2 face="serif">$19.85</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Yield on Closing Market Price as of 4/30/04 ($18.82):</FONT><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
   <TD align="right" width="10%"><FONT size=2 face="serif">7.97</FONT></TD>
   <TD width="7%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Current Monthly Distribution per Share:</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD align="right" width="10%"><FONT size=2 face="serif">$0.125</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Current Annualized Distribution per Share:</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD align="right" width="10%"><FONT size=2 face="serif">$1.500</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<P>
<SUP><FONT size=1 face="serif">1 </FONT></SUP><FONT size=1 face="serif">Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price.<br>
 </FONT><SUP><FONT size=1 face="serif">2
</FONT></SUP><FONT size=1 face="serif">The distribution is not constant and is subject to change.</FONT>
</P>
<P>
<FONT size=2 face="serif">The table below summarizes the Trust&#146;s market price and NAV:</FONT>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
  <TD>&nbsp;</TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD width="35%">&nbsp;</TD>
   <TD align="center" width="16%"><B><FONT size=2 face="serif">4/30/04</FONT></B></TD>
   <TD align="center" width="13%"><B><FONT size=2 face="serif">10/31/03</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Change</FONT></B></TD>
   <TD align="center" width="12%"><B><FONT size=2 face="serif">High</FONT></B></TD>
   <TD align="center" width="12%"><B><FONT size=2 face="serif">Low</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Market Price</FONT></TD>
   <TD align="right" width="16%"><div align="center"><FONT size=2 face="serif">$18.82</FONT></div></TD>
   <TD align="right" width="13%"><div align="center"><FONT size=2 face="serif">$18.80</FONT></div></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">0.11</FONT></TD>
   <TD width="5%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="center" width="12%"><FONT size=2 face="serif">$20.45</FONT></TD>
   <TD align="center" width="12%"><FONT size=2 face="serif">$18.15</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR align="center" size=1 noshade></TD>
   <TD><HR align="center" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">NAV</FONT></TD>
   <TD align="right" width="16%"><div align="center"><FONT size=2 face="serif">$19.85</FONT></div></TD>
   <TD align="right" width="13%"><div align="center"><FONT size=2 face="serif">$19.74</FONT></div></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">0.56</FONT></TD>
   <TD width="5%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="center" width="12%"><FONT size=2 face="serif">$20.32</FONT></TD>
   <TD align="center" width="12%"><FONT size=2 face="serif">$19.63</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR align="center" size=1 noshade></TD>
   <TD><HR align="center" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P>
<FONT size=2 face="serif">The following charts show the asset composition and credit quality allocations of the Trust&#146;s long-term investments:</FONT>
</P>
<P align="center">
<B><FONT size=2 face="serif">Sector Breakdown</FONT></B>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Composition</FONT></B></div></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">April 30, 2004</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">October 31, 2003</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Corporate Bonds</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">43</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">47</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Bank Loans</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">28</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">20</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Mortgage Pass-Throughs</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">16</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">24</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">U.S. Government and Agency Securities</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">8</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Foreign Government Bonds</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Collateralized Mortgage Obligation Residuals</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Asset-Backed Securities</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<P align="center">
<B><FONT size=2 face="serif">Corporate Credit Breakdown</FONT></B><B><SUP><FONT size=2 face="serif">3</FONT></SUP></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
  <TD width="58%" align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Credit Rating</FONT></B></div></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">April 30, 2004</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">October 31, 2003</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">A</FONT></TD>
   <TD align="right" width="10%"><FONT size=2 face="serif">6</FONT></TD>
   <TD width="9%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">6</FONT></TD>
   <TD width="11%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">BBB/Baa</FONT></TD>
   <TD align="right" width="10%"><FONT size=2 face="serif">8</FONT></TD>
   <TD width="9%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">8</FONT></TD>
   <TD width="11%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">BB/Ba</FONT></TD>
   <TD align="right" width="10%"><FONT size=2 face="serif">27</FONT></TD>
   <TD width="9%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">26</FONT></TD>
   <TD width="11%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">B</FONT></TD>
   <TD align="right" width="10%"><FONT size=2 face="serif">58</FONT></TD>
   <TD width="9%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">60</FONT></TD>
   <TD width="11%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">CCC/Caa</FONT></TD>
   <TD align="right" width="10%"><FONT size=2 face="serif">1</FONT></TD>
   <TD width="9%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD width="11%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<SUP><FONT size=1 face="serif">3 </FONT></SUP><FONT size=1 face="serif">Using the higher of S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating. Corporate bonds represented approximately 63.7% and 64.6% of net assets on April 30, 2004, and October
31, 2003, respectively.</FONT>
<P align="center">
<FONT size=2 face="serif">7</FONT>
</P>

<HR noshade align="center" width="100%" size=2>

<PAGE><P>
<B><FONT face="serif">TRUST</FONT></B><B><U><FONT face="serif"> </FONT></U></B><B><FONT face="serif">SUMMARIES (unaudited) <br>
APRIL 30, 2004</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock Strategic Bond Trust (BHD)</FONT></B>
</P>
<P align="center">
<B><FONT size=2 face="serif">Trust Information</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
  <TD><HR noshade size=1></TD>
  <TD colspan=2 align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD width="85%"><FONT size=2 face="serif">Symbol on New York Stock Exchange:</FONT></TD>
   <TD colspan=2 align="center"><FONT size=2 face="serif">BHD</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Initial Offering Date:</FONT></TD>
   <TD align="center" colspan=2><FONT size=2 face="serif">February 26, 2002</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Closing Market Price as of 4/30/04:</FONT></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">$14.70</FONT></TD>
   <TD width="6%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net Asset Value as of 4/30/04:</FONT></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">$15.16</FONT></TD>
   <TD width="6%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Yield on Closing Market Price as of 4/30/04 ($14.70):</FONT><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">10.61</FONT></TD>
   <TD width="6%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Current Monthly Distribution per Share:</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">$0.13</FONT></TD>
   <TD width="6%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Current Annualized Distribution per Share:</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">$1.56</FONT></TD>
   <TD width="6%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<P>
<SUP><FONT size=1 face="serif">1 </FONT></SUP><FONT size=1 face="serif">Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. </FONT><SUP><FONT size=1 face="serif"><br>
2
</FONT></SUP><FONT size=1 face="serif">The distribution is not constant and is subject to change.</FONT>
</P>
<P>
<FONT size=2 face="serif">The table below summarizes the changes in the Trust&#146;s market price and NAV:</FONT>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
  <TD>&nbsp;</TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
  <TD align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD width="35%">&nbsp;</TD>
   <TD align="center" width="12%"><B><FONT size=2 face="serif">4/30/04</FONT></B></TD>
   <TD align="center" width="14%"><B><FONT size=2 face="serif">10/31/03</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Change</FONT></B></TD>
   <TD align="center" width="12%"><B><FONT size=2 face="serif">High</FONT></B></TD>
   <TD align="center" width="12%"><B><FONT size=2 face="serif">Low</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Market Price</FONT></TD>
   <TD align="right" width="12%"><div align="center"><FONT size=2 face="serif">$14.70</FONT></div></TD>
   <TD align="right" width="14%"><div align="center"><FONT size=2 face="serif">$15.27</FONT></div></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">(3.73</FONT></TD>
   <TD width="6%"><FONT size=2 face="serif">)%</FONT></TD>
   <TD align="center" width="12%"><FONT size=2 face="serif">$16.68</FONT></TD>
   <TD align="center" width="12%"><FONT size=2 face="serif">$14.28</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR align="center" size=1 noshade></TD>
   <TD><HR align="center" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">NAV</FONT></TD>
   <TD align="right" width="12%"><div align="center"><FONT size=2 face="serif">$15.16</FONT></div></TD>
   <TD align="right" width="14%"><div align="center"><FONT size=2 face="serif">$15.07</FONT></div></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">0.60</FONT></TD>
   <TD width="6%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="center" width="12%"><FONT size=2 face="serif">$15.60</FONT></TD>
   <TD align="center" width="12%"><FONT size=2 face="serif">$15.00</FONT></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P>
<FONT size=2 face="serif">The following charts show the asset composition and credit quality allocations of the Trust&#146;s corporate bond investments:</FONT>
</P>
<P align="center">
<B><FONT size=2 face="serif">Corporate Sector Breakdown</FONT></B>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
  <TD align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Composition</FONT></B></div></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">April 30, 2004</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">October 31, 2003</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Energy</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">16</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">16</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Finance &amp; Banking</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">14</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Media</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">10</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Automotive</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">10</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Telecommunication</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">7</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Health Care</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">6</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Conglomerates</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">4</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Aero &amp; Defense</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">4</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Chemical</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Ecological Services &amp; Equipment</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Transportation</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Hotels &amp; Casinos</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Building &amp; Development</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Forest Products</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Container &amp; Glass</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Real Estate</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Basic Material</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Industrial Equipment</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Consumer Products</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Technology</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Other</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<P align="center">
<B><FONT size=2 face="serif">Corporate Credit Breakdown</FONT></B><B><SUP><FONT size=2 face="serif">3</FONT></SUP></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
  <TD width="50%" align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
  <TD colspan="2" align="center"><HR noshade size=1></TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Credit Rating</FONT></B></div></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">April 30, 2004</FONT></B></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">October 31, 2003</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">AAA/Aaa</FONT></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">1</FONT></TD>
   <TD width="11%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" width="14%"><FONT size=2 face="serif">1</FONT></TD>
   <TD width="13%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">AA/Aa</FONT></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">5</FONT></TD>
   <TD width="11%">&nbsp;</TD>
   <TD align="right" width="14%"><FONT size=2 face="serif">5</FONT></TD>
   <TD width="13%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">A</FONT></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">9</FONT></TD>
   <TD width="11%">&nbsp;</TD>
   <TD align="right" width="14%"><FONT size=2 face="serif">9</FONT></TD>
   <TD width="13%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">BBB/Baa</FONT></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">10</FONT></TD>
   <TD width="11%">&nbsp;</TD>
   <TD align="right" width="14%"><FONT size=2 face="serif">10</FONT></TD>
   <TD width="13%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">BB/Ba</FONT></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">23</FONT></TD>
   <TD width="11%">&nbsp;</TD>
   <TD align="right" width="14%"><FONT size=2 face="serif">23</FONT></TD>
   <TD width="13%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">B</FONT></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">46</FONT></TD>
   <TD width="11%">&nbsp;</TD>
   <TD align="right" width="14%"><FONT size=2 face="serif">47</FONT></TD>
   <TD width="13%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">CCC/Caa</FONT></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">6</FONT></TD>
   <TD width="11%">&nbsp;</TD>
   <TD align="right" width="14%"><FONT size=2 face="serif">4</FONT></TD>
   <TD width="13%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Not Rated</FONT></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD width="11%">&nbsp;</TD>
   <TD align="right" width="14%"><FONT size=2 face="serif">1</FONT></TD>
   <TD width="13%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<SUP><FONT size=1 face="serif">3 </FONT></SUP><FONT size=1 face="serif">Using the higher of S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating. Corporate bonds represented approximately 123.7% and 134.4% of net assets on April 30, 2004, and October
31, 2003, respectively.</FONT>
<P align="center">
<FONT size=2 face="serif">8</FONT>
</P>

<HR noshade align="center" width="100%" size=2>

<PAGE>

<A NAME="page_21"></A>

<P>
<B><FONT face="serif">CONSOLIDATED PORTFOLIO OF INVESTMENTS (unaudited) <br>
APRIL 30, 2004</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="7%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="70%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="70%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="70%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">LONG-TERM INVESTMENTS&#151;137.6%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Mortgage Pass-Throughs&#151;1.6%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Federal National Mortgage Assoc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">678</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 1/01/17 - 2/01/17</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">696,821</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">30</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 7/01/29</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">31,627</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Total Mortgage Pass-Throughs</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">728,448</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Agency Multiple Class Mortgage Pass-Throughs&#151;15.4%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Federal Home Loan Mortgage Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,168</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1510, Class G, 7.05%, 5/15/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,362,534</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">142</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1512, Class H, 6.50%, 2/15/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">145,035</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">400</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1534, Class IG, 5.00%, 2/15/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">411,581</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1598, Class J, 6.50%, 10/15/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,146,940</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Federal National Mortgage Assoc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">159</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 10, Class V, 7.00%, 7/25/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">159,771</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">157</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 13, Class SJ, 8.75%, 2/25/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">161,039</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">100</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 22, Class GN, 6.50%, 8/25/31</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">104,601</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">88</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 43, Class E, 7.50%, 4/25/22</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">91,871</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 49, Class H, 7.00%, 4/25/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,080,700</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">59</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 60, Class JZ, 6.00%, 3/25/31</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">60,007</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">429</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 214, Class SK, 10.00%, 12/25/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">456,918</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Total Agency Multiple Class Mortgage Pass-Throughs</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">7,180,997</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Inverse Floating Rate Mortgages&#151;7.1%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">350</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Citicorp Mortgage Securities, Inc., Ser. 14, Class A-4, 24.575%, 11/25/23</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">372,531</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Federal Home Loan Mortgage Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">336</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT><FONT size=1 face="serif">Ser. 1425, Class SB, 22.593%, 12/15/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">425,346</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">101</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1506, Class S, 16.825%, 5/15/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">115,208</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">106</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1515, Class S, 17.255%, 5/15/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">127,450</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">91</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1618, Class SA, 8.25%, 11/15/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">92,926</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">160</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1621, Class SH, 12.14%, 11/15/22</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">165,261</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">121</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1661, Class SB, 17.092%, 1/15/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">128,236</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">350</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1688, Class S, 10.971%, 12/15/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">371,845</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Federal National Mortgage Assoc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">384</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 187, Class SB, 20.079%, 10/25/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">446,193</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">197</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 190, Class S, 22.593%, 11/25/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">234,291</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">241</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 191, Class SD, 13.458%, 10/25/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">261,179</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">309</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 214, Class SH, 15.461%, 12/25/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">336,214</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Residential Funding Mortgage Securities I, Inc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">119</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. S23, Class A-12, 14.43%, 6/25/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">120,182</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">123</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. S23, Class A-16, 16.033%, 6/25/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">126,101</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Total Inverse Floating Rate Mortgages</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">3,322,963</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Interest Only Mortgage-Backed Securities&#151;12.0%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Federal Home Loan Mortgage Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">200</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 65, Class I, 8/15/20</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">24,621</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">68</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 141, Class H, 5/15/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">825</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">188</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1114, Class J, 7/15/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">31,884</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">130</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1285, Class M, 5/15/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,196</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">891</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1645, Class IB, 9/15/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">64,607</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">920</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2462, Class NI, 8/15/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">71,456</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,190</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2513, Class BI, 12/15/15</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">52,566</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,970</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2523, Class EH, 4/15/20</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">286,916</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">507</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2542, Class IY, 5/15/16</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">297</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,580</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2543, Class IJ, 10/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">174,133</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,821</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2543, Class IM, 9/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">130,682</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">5,419</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2572, Class IT, 5/15/19</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">468,054</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,981</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2633, Class PI, 3/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">224,540</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">4,577</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2672, Class TP, 9/15/16</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">305,037</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">5,605</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2739, Class PI, 3/15/22</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">760,682</FONT></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">9</FONT>
</P>

<HR noshade align="center" width="100%" size=2>

<PAGE>
<A NAME="page_23"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="8%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="70%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="70%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="70%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Interest Only Mortgage-Backed Securities&#151;(cont&#146;d)</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Federal National Mortgage Assoc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">458</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 8, Class HA, 1/25/08</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">72,584</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 13, Class IG, 10/25/22</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">347,970</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">447</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 20, Class SL, 9/25/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">84,834</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">73</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 39, Class PE, 1/25/23</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,766</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">104</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 42, Class SO, 3/25/23</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,365</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,312</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 49, Class L, 4/25/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">98,986</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,135</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 51, Class K, 4/25/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">130,477</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">12,992</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 70, Class ID, 4/25/22</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,832,002</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">119</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 72, Class H, 7/25/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">12,504</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">711</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 80, Class PI, 9/25/23</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">6,955</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 82, Class IR, 9/25/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">124,040</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">844</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 90, Class M, 1/25/28</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">124,825</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">7</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 174, Class S, 9/25/22</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">22,699</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">293</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 194, Class PV, 6/25/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">11,805</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">951</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 208, Class S, 2/25/23</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">33,784</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">267</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 223, Class PT, 10/25/23</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">22,366</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">6</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. G-21, Class L, 7/25/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">9,568</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">49</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">PNC Mortgage Securities Corp., Ser. 8, Class 4-X, 10/25/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">2,184</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">4,359</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Structured Asset Securities Corp., Ser. ALS1, Class 3AX, 5/25/29</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,630</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">26,403</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Vendee Mortgage Trust, Ser. 1, Class IO, 10/15/31</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">32,476</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Total Interest Only Mortgage-Backed Securities</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">5,573,316</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Principal Only Mortgage-Backed Securities&#151;0.1%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aaa</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">47</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Salomon Brothers Mortgage Securities Inc. VI, Ser. 3, Class A, 10/23/17</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">43,563</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Commercial Mortgage-Backed Securities&#151;1.7%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">750</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">New York City Mortgage Loan Trust, Multi-Family, Class A2, 6.75%, 6/25/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">812,766</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Asset-Backed Securities&#151;0.1%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">NR</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">238</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2,3,4</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Global Rated Eligible Asset Trust, Ser. A, Class 1, 7.33%, 9/15/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">5,960</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Structured Mortgage Asset Residential Trust,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">NR</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">576</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3,4</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2, 8.24%, 3/15/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">7,925</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">NR</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">639</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3,4</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 3, 8.724%, 4/15/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">8,784</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Total Asset-Backed Securities</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">22,669</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Corporate Bonds&#151;9.9%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Chemical&#151;2.6%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Dow Capital BV, 9.20%, 6/01/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,198,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Consumer Products&#151;1.1%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">General Mills, 8.75%, 9/15/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">512,965</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Energy&#151;1.2%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Israel Electric Corp., Ltd., 7.25%, 12/15/06 (Israel)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">542,755</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Finance &amp; Banking&#151;3.7%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Morgan Stanley Group, Inc., 10.00%, 6/15/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,218,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">UBS PaineWebber Group, Inc., 8.875%, 3/15/05</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">526,785</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,745,285</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>

   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Telecommunication&#151;1.1%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">ALLTEL Corp., 7.50%, 3/01/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">542,390</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Transportation&#151;0.2%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">100</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">American Airlines, Inc., 10.44%, 3/04/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">84,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Total Corporate Bonds</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">4,625,895</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">U.S. Government and Agency Securities&#151;82.3%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">214</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Small Business Investment Companies, Ser. P10A, Class 1, 6.12%, 2/01/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">226,325</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">27,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">U.S. Treasury Bond, zero coupon, 11/15/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">21,662,937</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">U.S. Treasury Notes,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,200</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 11/15/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">3,267,002</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">7,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.375%, 8/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">7,014,209</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,700</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.75%, 11/15/05</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,795,360</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,550</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00%, 8/15/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">3,937,727</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">385</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.625%, 5/15/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">426,493</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Total U.S. Government and Agency Securities</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">38,330,053</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">10</FONT>
</P>

<HR noshade align="center" width="100%" size=2>

<PAGE>

<A NAME="page_25"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT) (continued)</FONT></B>
</P>
<TABLE width="97%" border=0 cellspacing=0 cellpadding=0>
  <TR>
    <TD width="7%">&nbsp;</TD>
    <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
    <TD align="center" width="27%">&nbsp;</TD>
    <TD align="center" colspan=2>&nbsp;</TD>
    <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
  <TR>
    <TD>&nbsp;</TD>
    <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
    <TD align="center" width="27%">&nbsp;</TD>
    <TD align="center" colspan=2>&nbsp;</TD>
    <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
  <TR>
    <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
    <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
    <TD align="center" colspan=3><B><FONT size=2 face="serif">Description</FONT></B></TD>
    <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
  <TR>
    <TD><HR noshade size=2></TD>
    <TD colspan=3><HR noshade size=2></TD>
    <TD colspan=3><HR noshade size=2></TD>
    <TD colspan=2><HR noshade size=2></TD>
  </TR>
  <TR>
    <TD>&nbsp;</TD>
    <TD width="2%">&nbsp;</TD>
    <TD width="5%">&nbsp;</TD>
    <TD width="4%">&nbsp;</TD>
    <TD colspan=3><B><FONT size=2 face="serif">Taxable Municipal Bonds&#151;7.4%</FONT></B></TD>
    <TD width="3%">&nbsp;</TD>
    <TD width="10%">&nbsp;</TD>
  </TR>
  <TR>
    <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
    <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
    <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
    <TD align="right" width="4%">&nbsp;</TD>
    <TD colspan=3><FONT size=1 face="serif">Fresno California Pension Oblig., 7.80%, 6/01/14</FONT></TD>
    <TD align="center" width="3%"><FONT size=1 face="serif">$</FONT></TD>
    <TD align="right" width="10%"><FONT size=1 face="serif">609,260</FONT></TD>
  </TR>
  <TR>
    <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
    <TD width="2%">&nbsp;</TD>
    <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
    <TD align="right" width="4%">&nbsp;</TD>
    <TD colspan=3><FONT size=1 face="serif">Kern County California Pension Oblig., 6.98%, 8/15/09</FONT></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align="right" width="10%"><FONT size=1 face="serif">573,805</FONT></TD>
  </TR>
  <TR>
    <TD><div align="center"></div></TD>
    <TD width="2%">&nbsp;</TD>
    <TD width="5%">&nbsp;</TD>
    <TD width="4%">&nbsp;</TD>
    <TD colspan=3><FONT size=1 face="serif">Los Angeles County California Pension Oblig.,</FONT></TD>
    <TD width="3%">&nbsp;</TD>
    <TD width="10%">&nbsp;</TD>
  </TR>
  <TR>
    <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
    <TD width="2%">&nbsp;</TD>
    <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
    <TD align="right" width="4%">&nbsp;</TD>
    <TD width="27%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. A, 8.62%, 6/30/06</FONT></TD>
    <TD width="4%">&nbsp;</TD>
    <TD width="38%">&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align="right" width="10%"><FONT size=1 face="serif">1,131,050</FONT></TD>
  </TR>
  <TR>
    <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
    <TD width="2%">&nbsp;</TD>
    <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
    <TD align="right" width="4%">&nbsp;</TD>
    <TD width="27%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. D, 6.97%, 6/30/08</FONT></TD>
    <TD width="4%">&nbsp;</TD>
    <TD width="38%">&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align="right" width="10%"><FONT size=1 face="serif">568,560</FONT></TD>
  </TR>
  <TR>
    <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
    <TD width="2%">&nbsp;</TD>
    <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
    <TD align="right" width="4%">&nbsp;</TD>
    <TD colspan=3><FONT size=1 face="serif">Orleans Parish Louisiana School Board, Ser. A, 6.60%, 2/01/08</FONT></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align="right" width="10%"><FONT size=1 face="serif">549,245</FONT></TD>
  </TR>
  <TR>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD colspan=3>&nbsp;</TD>
    <TD><HR noshade size=1></TD>
    <TD><HR noshade size=1></TD>
  </TR>
  <TR>
    <TD>&nbsp;</TD>
    <TD width="2%">&nbsp;</TD>
    <TD width="5%">&nbsp;</TD>
    <TD width="4%">&nbsp;</TD>
    <TD width="27%"><FONT size=1 face="serif">Total Taxable Municipal Bonds</FONT></TD>
    <TD width="4%">&nbsp;</TD>
    <TD width="38%">&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align="right" width="10%"><FONT size=1 face="serif">3,431,920</FONT></TD>
  </TR>
  <TR>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD><HR noshade size=1></TD>
    <TD><HR noshade size=1></TD>
  </TR>
  <TR>
    <TD>&nbsp;</TD>
    <TD width="2%">&nbsp;</TD>
    <TD width="5%">&nbsp;</TD>
    <TD width="4%">&nbsp;</TD>
    <TD width="27%"><B><FONT size=1 face="serif">Total Long-Term Investments </FONT></B><FONT size=1 face="serif">(cost 63,243,903)</FONT></TD>
    <TD width="4%">&nbsp;</TD>
    <TD align="center" width="38%">&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align="right" width="10%"><FONT size=1 face="serif">64,072,590</FONT></TD>
  </TR>
  <TR>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD><HR noshade size=1></TD>
    <TD><HR noshade size=1></TD>
  </TR>
  <TR>
    <TD>&nbsp;</TD>
    <TD width="2%">&nbsp;</TD>
    <TD width="5%">&nbsp;</TD>
    <TD width="4%">&nbsp;</TD>
    <TD colspan=3><B><FONT size=2 face="serif">SHORT-TERM INVESTMENT&#151;10.3%</FONT></B></TD>
    <TD width="3%">&nbsp;</TD>
    <TD width="10%">&nbsp;</TD>
  </TR>
  <TR>
    <TD>&nbsp;</TD>
    <TD width="2%">&nbsp;</TD>
    <TD width="5%">&nbsp;</TD>
    <TD width="4%">&nbsp;</TD>
    <TD width="27%"><B><FONT size=2 face="serif">U.S. Government Agency Security&#151;10.3%</FONT></B></TD>
    <TD width="4%">&nbsp;</TD>
    <TD width="38%">&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD width="10%">&nbsp;</TD>
  </TR>
  <TR>
    <TD>&nbsp;</TD>
    <TD width="2%">&nbsp;</TD>
    <TD align="right" width="5%"><FONT size=1 face="serif">4,800</FONT></TD>
    <TD align="right" width="4%">&nbsp;</TD>
    <TD colspan=3><FONT size=1 face="serif">Federal Home Loan Bank, zero coupon, 5/03/04 (cost $4,799,773)</FONT></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align="right" width="10%"><FONT size=1 face="serif">4,799,773</FONT></TD>
  </TR>
  <TR>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD colspan=3>&nbsp;</TD>
    <TD><HR noshade size=1></TD>
    <TD><HR noshade size=1></TD>
  </TR>
  <TR>
    <TD>&nbsp;</TD>
    <TD width="2%">&nbsp;</TD>
    <TD width="5%">&nbsp;</TD>
    <TD width="4%">&nbsp;</TD>
    <TD width="27%"><B><FONT size=1 face="serif">Total investments&#151;147.9% </FONT></B><FONT size=1 face="serif">(cost $68,043,676)</FONT></TD>
    <TD align="center" colspan=2>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align="right" width="10%"><FONT size=1 face="serif">68,872,363</FONT></TD>
  </TR>
  <TR>
    <TD>&nbsp;</TD>
    <TD width="2%">&nbsp;</TD>
    <TD width="5%">&nbsp;</TD>
    <TD width="4%">&nbsp;</TD>
    <TD colspan=3><FONT size=1 face="serif">Liabilities in excess of other assets&#151;(47.9)%</FONT></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align="right" width="10%"><FONT size=1 face="serif">(22,312,296)</FONT></TD>
  </TR>
  <TR>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD colspan=3>&nbsp;</TD>
    <TD><HR noshade size=1></TD>
    <TD><HR noshade size=1></TD>
  </TR>
  <TR>
    <TD>&nbsp;</TD>
    <TD width="2%">&nbsp;</TD>
    <TD width="5%">&nbsp;</TD>
    <TD width="4%">&nbsp;</TD>
    <TD width="27%"><B><FONT size=1 face="serif">Net Assets&#151;100%</FONT></B></TD>
    <TD width="4%">&nbsp;</TD>
    <TD width="38%">&nbsp;</TD>
    <TD align="center" width="3%"><FONT size=1 face="serif">$</FONT></TD>
    <TD align="right" width="10%"><FONT size=1 face="serif">46,560,067</FONT></TD>
  </TR>
  <TR>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD><HR noshade size=2></TD>
    <TD><HR noshade size=2></TD>
  </TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<TABLE>
<tr>
   <td valign="top" colspan="2"><SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Using the higher of S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating.</FONT><BR><SUP><FONT size=1 face="serif">2</FONT></SUP>&nbsp;<FONT
size=1 face="serif">Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2004, the Trust held 2.9%
of its net assets, with a current market value of $1,361,481, in securities restricted as to resale.</FONT><BR><SUP><FONT size=1 face="serif">3</FONT></SUP>&nbsp;<FONT size=1 face="serif">Security is fair valued.</FONT><BR><SUP><FONT size=1
face="serif">4</FONT></SUP>&nbsp;<FONT size=1 face="serif">Illiquid securities representing 0.05% of net assets.</FONT><BR><SUP><FONT size=1 face="serif">5</FONT></SUP>&nbsp;<FONT size=1 face="serif">Entire or partial principal amount pledged as
collateral for reverse repurchase agreements or financial futures contracts.</FONT><BR></td>
</tr>
</TABLE>
<P><FONT size=1 face="serif">Details of open reverse repurchase agreements are disclosed in Note 4 in the Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">11</FONT>
</P>

<HR noshade align="center" width="100%" size=2>

<PAGE>
<A NAME="page_27"></A>

<P>
<B><FONT face="serif">PORTFOLIO OF INVESTMENTS (unaudited) <br>
APRIL 30, 2004</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock Core Bond Trust (BHK)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2 width="6%"><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" width="75%">&nbsp;</TD>
   <TD align="center" colspan=2 width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2 width="6%"><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" width="75%">&nbsp;</TD>
   <TD align="center" colspan=2 width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=2 width="6%"><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" width="75%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2 width="11%"><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><B><FONT size=2 face="serif">LONG-TERM INVESTMENTS&#151;154.8%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><B><FONT size=2 face="serif">Mortgage Pass-Throughs&#151;25.4%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Federal Home Loan Mortgage Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,875</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 4/01/08</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,855,761</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,355</FONT></TD>
   <TD width="2%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.875%, 11/10/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">3,358,295</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,125</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 12/16/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,112,344</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,795</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 12/08/10&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">2,805,509</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">7,804</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 11/01/18 - 9/01/33</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">7,812,446</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,885</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.75%, 4/15/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">2,033,331</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">7,002</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00%, 9/01/10 - 12/01/18</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">7,319,473</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,175</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.625%, 9/15/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">3,548,634</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">735</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.875%, 9/15/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">835,239</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">931</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 3/15/10 - 9/01/31</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,052,966</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">100</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, TBA</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">96,938</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, TBA</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">3,077,814</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Federal National Mortgage Assoc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">870</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.75%, 6/16/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">852,313</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,280</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 2/21/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,248,269</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,569</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 1/01/34 - 2/01/34</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,521,475</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,725</FONT></TD>
   <TD width="2%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.25%, 4/15/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">3,946,489</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,336</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 1/01/18 - 1/01/34</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,358,578</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,740</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.75%, 2/15/08&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,874,711</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">7,079</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00%, 5/15/08 - 11/01/33</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">7,487,166</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,300</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.625%, 10/15/07 - 9/15/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">3,665,571</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,056</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 1/01/31 - 7/01/32</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,116,638</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">6,290</FONT></TD>
   <TD width="2%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.125%, 3/15/07 - 6/15/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">7,159,911</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,410</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.25%, 1/15/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">3,925,592</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2 width="6%"><FONT size=1 face="serif">15,000</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, TBA</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">15,084,375</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2 width="6%"><FONT size=1 face="serif">10,800</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, TBA</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">10,773,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">620</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Government National Mortgage Assoc., 5.50%, 5/15/33 - 9/15/33</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">620,370</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2 width="6%"><FONT size=1 face="serif">22,600</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Residential Accredit Loans, Inc., Ser. QS10, Class A16, 6.45%, 5/25/33</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">2,236,936</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,542</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Small Business Admin., Ser. P10B, Class 1, 5.136%, 8/10/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">2,538,787</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Total Mortgage Pass-Throughs</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">100,318,931</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><B><FONT size=2 face="serif">Interest Only Asset-Backed Securities&#151;1.0%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2 width="6%"><FONT size=1 face="serif">45,000</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Sterling Coofs Trust, 4/15/29</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">4,021,875</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><B><FONT size=2 face="serif">Interest Only Mortgage-Backed Securities&#151;2.5%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Federal Home Loan Mortgage Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,785</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2579, Class HI, 8/15/17</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">546,052</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">9,518</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2611, Class QI, 9/15/32</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">2,171,593</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Federal National Mortgage Assoc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">8,895</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 16, Class IW, 11/25/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">665,082</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2 width="6%"><FONT size=1 face="serif">14,316</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 64, Class QI, 1/25/33</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">3,217,591</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2 width="6%"><FONT size=1 face="serif">24,146</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 92, Class IC, 4/25/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">2,974,573</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">247</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Residential Funding Mortgage Securities I, Inc., Ser. S6, Class A7, 4/25/17</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">247,353</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Total Interest Only Mortgage-Backed Securities</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">9,822,244</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><B><FONT size=2 face="serif">Commercial Mortgage-Backed Securities&#151;2.0%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aaa</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,677</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Heller Financial Commercial Mortgage Asset Co., Ser. PH1, Class A2, 6.847%, 5/15/31</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,851,073</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,470</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Morgan Stanley Capital I, Inc., Ser. HF2, Class A2, 6.48%, 11/15/30</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,607,514</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">105</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Residential Funding Mortgage Securities I, Inc., Ser. S6, Class A7, 6.00%, 4/25/17</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">105,590</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,500</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Salomon Brothers Mortgage Securities VII, Ser. C1, Class A2, 7.52%, 12/18/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">4,000,837</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">254</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Washington Mutual Mortgage Securitization Corp., Ser. 12, Class A, 6.50%, 5/25/32</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">257,638</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Total Commercial Mortgage-Backed Securities</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">7,822,652</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">12</FONT>
</P>

<HR noshade align="center" width="100%" size=2>

<PAGE>
<A NAME="page_29"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Core Bond Trust (BHK) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="9%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" width="70%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" width="70%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" width="70%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">U.S. Government and Agency Securities&#151;55.9%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">1,050</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Resolution Funding Corp., zero coupon, 7/15/18 - 10/15/18</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">472,894</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">U.S. Treasury Bonds,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">20,790</FONT></TD>
   <TD width="2%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.375%, 2/15/31</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">21,056,320</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">4,945</FONT></TD>
   <TD width="2%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00%, 2/15/26</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">5,347,553</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">4,505</FONT></TD>
   <TD width="2%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 8/15/23</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">5,006,181</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">6,345</FONT></TD>
   <TD width="2%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 8/15/26</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">7,485,368</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">3,375</FONT></TD>
   <TD width="2%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 11/15/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">4,446,036</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">19,350</FONT></TD>
   <TD width="2%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.125%, 8/15/19</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">25,516,303</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">5,310</FONT></TD>
   <TD width="2%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10.375%, 11/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">6,582,950</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">U.S. Treasury Notes,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">25,220</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.50%, 3/31/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">24,854,486</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">24,980</FONT></TD>
   <TD width="2%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.25%, 4/30/06 - 2/15/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">24,850,828</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">2,545</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.625%, 3/15/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">2,436,049</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">28,940</FONT></TD>
   <TD width="2%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.125%, 4/15/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">28,302,452</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">67,370</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 11/15/12 - 2/15/14</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">64,574,903</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Total U.S. Government and Agency Securities</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">220,932,323</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Corporate Bonds&#151;61.1%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Aero &amp; Defense&#151;2.3%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">BE Aerospace, Inc., Ser. B, 8.00%, 3/01/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">2,925,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Lockheed Martin Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">380</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.20%, 5/01/36</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">434,090</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">1,175</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.50%, 12/01/29</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,486,199</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Northrop Grumman Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">380</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.125%, 2/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">429,411</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">960</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.875%, 3/01/26</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,127,684</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">1,750</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Raytheon, 7.00%, 5/15/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,852,515</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">800</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Raytheon Co., 4.85%, 1/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">790,872</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">9,045,771</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Automotive&#151;1.7%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">660</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Chrysler Corp., 7.45%, 3/01/27</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">682,778</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">DaimlerChrysler NA Holding Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">250</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.05%, 6/04/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">245,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">940</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 1/15/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">952,493</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B3</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Delco Remy Intl., Inc., 11.00%, 5/01/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,586,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">2,100</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Sonic Automotive, Inc., Ser. B, 8.625%, 8/15/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">2,262,750</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">892</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">TRW Automotive, Inc., 9.375%, 2/15/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,021,340</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">6,750,861</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Basic Material&#151;0.1%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">400</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Alcan Inc., 6.125%, 12/15/33 (Canada)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">394,084</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Building &amp; Development&#151;0.9%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Hovnanian Enterprises, Inc., 10.50%, 10/01/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">3,450,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Chemical&#151;2.2%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Avecia Group PLC, 11.00%, 7/01/09 (United Kingdom)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">2,385,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Dow Chemical Co.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">1,650</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.97%, 1/15/09&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,765,550</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">280</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.375%, 11/01/29</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">310,139</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Lyondell Chemical Co., Ser. B, 9.875%, 5/01/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">4,200,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">8,660,689</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Conglomerates&#151;1.2%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">2,745</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">General Electric Co., 5.00%, 2/01/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">2,733,416</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">2,055</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Tyco Intl. Group SA, 6.375%, 6/15/05 (Luxembourg)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">2,134,446</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">4,867,862</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Consumer Products&#151;2.9%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">American Greetings Corp., 11.75%, 7/15/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">3,525,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">1,025</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Avery Dennison Corp., 4.875%, 1/15/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,012,484</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">1,680</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Diageo Capital PLC, 3.50%, 11/19/07 (United Kingdom)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,679,782</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">1,010</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">General Mills, Inc., 5.125%, 2/15/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,055,925</FONT></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">13</FONT>
</P>

<HR noshade align="center" width="100%" size=2>

<PAGE>

<A NAME="page_31"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Core Bond Trust (BHK) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="7%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="72%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="72%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="72%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><B><FONT size=2 face="serif">Consumer Products&#151;(cont&#146;d)</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Kraft Foods, Inc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">400</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.25%, 6/01/07</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">418,672</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,880</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.625%, 11/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,946,796</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">650</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Kroger Co., 6.80%, 4/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">716,330</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">Pantry, Inc., The, 7.75%, 2/15/14</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,005,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">11,359,989</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><B><FONT size=2 face="serif">Containers &amp; Glass&#151;0.7%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Crown European Holdings SA, 10.875%, 3/01/13 (France)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,160,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Owens-Brockway Glass Container, 8.75%, 11/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,627,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,787,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><B><FONT size=2 face="serif">Ecological Services &amp; Equipment&#151;1.3%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Allied Waste NA, Inc., Ser. B, 10.00%, 8/01/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,350,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><B><FONT size=2 face="serif">Electronics&#151;1.0%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Knowles Electronics Holdings, Inc., 13.125%, 10/15/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,637,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Stoneridge, Inc., 11.50%, 5/01/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,200,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,837,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><B><FONT size=2 face="serif">Energy&#151;7.8%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,115</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Anadarko Finance Co., Ser. B, 7.50%, 5/01/31 (Canada)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,270,922</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">765</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">Anadarko Petroleum Corp., 5.375%, 3/01/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">806,272</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Calpine Canada Energy Finance ULC, 8.50%, 5/01/08 (Canada)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">702,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,250</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Chesapeake Energy Corp., 9.00%, 8/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,428,125</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Compagnie Generale de Geophysique SA, 10.625%, 11/15/07 (France)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,077,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,800</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Conoco Funding Co., 6.35%, 10/15/11 (Canada)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,982,412</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,915</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Devon Energy Corp., 7.95%, 4/15/32</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,225,134</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">230</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Devon Financing Corp. ULC, 7.875%, 9/30/31</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">262,586</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Baa2</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">895</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Dominion Resources Capital Trust III, 8.40%, 1/15/31</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,028,713</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Dresser, Inc., 9.375%, 4/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,240,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">Dynegy Holdings Inc., 10.125%, 7/15/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,750,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">El Paso Natural Gas Co.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B1</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">850</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.625%, 8/01/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">871,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B1</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">265</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.375%, 6/15/32</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">263,675</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,250</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">El Paso Production Holding Co., 7.75%, 6/01/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,137,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,810</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">EnCana Corp., 4.75%, 10/15/13 (Canada)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,738,125</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">305</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Exelon Corp., 6.75%, 5/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">336,171</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,220</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">FirstEnergy Corp., Ser. C, 7.375%, 11/15/31</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,281,332</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Leviathan Gas Pipeline Partners, 10.375%, 6/01/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,090,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">360</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Occidental Petroleum Corp., 7.20%, 4/01/28</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">403,089</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">835</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Ontario Electricity Financial Corp., 6.10%, 1/30/08 (Canada)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">905,340</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Baa1</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,650</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Petroleos Mexicanos, 9.375%, 12/02/08 (Mexico)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,918,125</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">790</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">SP PowerAssets Ltd., 5.00%, 10/22/13 (Singapore)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">768,559</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">445</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Suncor Energy Inc., 5.95%, 12/01/34 (Canada)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">433,253</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">725</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Virginia Electric &amp; Power Co., Ser. A, 5.75%, 3/31/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">765,760</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">30,686,343</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><B><FONT size=2 face="serif">Finance &amp; Banking&#151;18.8%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2,3</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">American General Instl. Capital A, 7.57%, 12/01/45</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,165,367</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Bank of America Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa2</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.875%, 1/15/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,008,540</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa2</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">105</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.375%, 12/01/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">103,182</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa2</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">925</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.25%, 2/01/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">973,960</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa3</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">850</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.40%, 1/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">980,475</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa2</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">325</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Bank One NA, 3.70%, 1/15/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">325,826</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa3</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">565</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">Barclays Bank PLC, 8.55%, 9/29/49 (United Kingdom)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">683,004</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Citigroup, Inc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">780</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.125%, 5/05/14</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">773,622</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">375</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.875%, 2/22/33</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">358,958</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">4,490</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00%, 10/31/33</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,378,244</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">185</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.875%, 6/01/25</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">201,588</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">200</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.25%, 10/01/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">227,504</FONT></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">14</FONT>
</P>

<HR noshade align="center" width="100%" size=2>

<PAGE>
<A NAME="page_33"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Core Bond Trust (BHK) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="8%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="70%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="70%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="70%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Finance &amp; Banking&#151;(cont&#146;d)</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">275</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Credit Suisse First Boston USA, Inc., 6.125%, 11/15/11</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">293,865</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Crum &amp; Forster Holdings Corp., 10.375%, 6/15/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,105,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">General Electric Capital Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,870</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. A, 5.875%, 2/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,047,165</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">860</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. A, 6.00%, 6/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">916,760</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">General Motors Acceptance Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,160</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;zero coupon, 12/01/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">664,783</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,029</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.875%, 9/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,121,035</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">640</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 11/01/31</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">670,528</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Goldman Sachs Group, Inc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">300</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.15%, 1/15/14</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">292,182</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">750</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.125%, 2/15/33</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">726,345</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">190</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.60%, 1/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">208,451</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">135</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.35%, 10/01/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">153,864</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,175</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">HBOS PLC, 3.125%, 1/12/07 (United Kingdom)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,177,013</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Household Finance Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A1</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,760</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.375%, 8/01/10 - 11/27/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,904,315</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A1</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,325</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 5/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,579,657</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,205</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">HSBC Bank USA Inc., 4.625%, 4/01/14</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,084,334</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">JP Morgan Chase &amp; Co.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">540</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.625%, 5/01/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">535,847</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,600</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.25%, 5/30/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,684,896</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">600</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.35%, 3/01/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">635,226</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">325</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.625%, 3/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">358,755</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,155</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 2/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,284,718</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">165</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Lehman Brothers Holdings, Inc., 6.25%, 5/15/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">176,456</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Morgan Stanley,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,635</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.875%, 1/15/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,611,489</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,395</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.30%, 3/01/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,392,118</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">375</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.80%, 4/01/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">400,249</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">160</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 4/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">177,590</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">20,300</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Morgan Stanley Tracers, 5.838%, 3/01/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">21,531,195</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">790</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Peco Energy Cap. Trust IV, Trust Preferred Secs., 5.75%, 6/15/33</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">696,922</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Protective Life Secured Trust, 3.70%, 11/24/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,481,523</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Prudential Funding LLC, 6.60%, 5/15/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,092,300</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">400</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Rabobank Capital Fund II, 5.26%, 12/29/49</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">412,760</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">SLM Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,350</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 10/01/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,316,412</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,055</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.375%, 1/15/13 - 5/15/14</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,048,836</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">90</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.625%, 4/10/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">95,736</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">375</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">U.S. Bancorp, Ser. N, 3.95%, 8/23/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">380,625</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa2</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,025</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">US Bank National Assoc., 2.87%, 2/01/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,999,303</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,285</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Wachovia Corp., 3.625%, 2/17/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,260,585</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa1</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">200</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Wells Fargo Bank NA, 7.80%, 6/15/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">211,639</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">460</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Western &amp; Southern Financial Group Inc., 5.75%, 7/15/33</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">424,382</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B2</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">WMC Finance Co., 11.75%, 12/15/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,845,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">74,180,129</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Forest Products&#151;1.1%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,425</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Caraustar Industries, Inc., 9.875%, 4/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,493,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,060</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Weyerhaeuser Co., 6.95%, 10/01/27</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,092,977</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,586,477</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Health Care&#151;1.5%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,545</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Bristol Myers Squibb Co., 5.75%, 10/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,628,677</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">NR</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">HealthSouth Corp., 7.625%, 6/01/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,010,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">United Surgical Partners Intl., Inc., 10.00%, 12/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,270,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,908,677</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">15</FONT>
</P>

<HR noshade align="center" width="100%" size=2>

<PAGE>
<A NAME="page_35"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Core Bond Trust (BHK) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="8%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="69%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="69%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="69%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Hotels &amp; Casinos&#151;0.5%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="4%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Circus &amp; Eldorado Joint Venture, 10.125%, 3/01/12</FONT></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,015,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Resorts Intl. Hotel &amp; Casino, Inc., 11.50%, 3/15/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,110,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,125,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Industrial Equipment&#151;0.6%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Terex Corp., 9.25%, 7/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,230,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Leisure&#151;0.8%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Royal Caribbean Cruises Ltd., 8.125%, 7/28/04 (Liberia)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,030,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Media&#151;6.6%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B1</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Alliance Atlantis Communications, Inc., 13.00%, 12/15/09 (Canada)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,460,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">AOL Time Warner, Inc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">80</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.125%, 4/15/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">84,814</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">625</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.625%, 4/15/31</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">682,156</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC-</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Charter Communications Holdings LLC, 10.75%, 10/01/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,550,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,050</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Comcast Cable Communications, Inc., 6.875%, 6/15/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,155,929</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,550</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Comcast Corp., 5.50%, 3/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,639,531</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Baa1</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">355</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="69%"><FONT size=1 face="serif">COX Enterprises, Inc., 4.375%, 5/01/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">356,033</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">EchoStar DBS Corp., 10.375%, 10/01/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,320,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB-</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">825</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">News America Holdings, 7.70%, 10/30/25</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">935,014</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB-</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">985</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">News America Inc., 7.625%, 11/30/28</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,123,393</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">730</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">TCI Communications Inc., 7.875%, 2/15/26</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">829,441</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">10</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Tele-Communications-TCI Group, 7.875%, 8/01/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">11,584</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Time Warner, Inc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">90</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.625%, 5/15/29</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">88,921</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,380</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.57%, 2/01/24</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,690,936</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">25,927,752</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Pharmaceuticals&#151;0.7%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="69%"><FONT size=1 face="serif">Curative Hlth. Svcs. Inc., 10.75%, 5/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,003,750</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">835</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">GlaxoSmithKline Cap. Inc., 4.375%, 4/15/14</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">790,745</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">875</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Wyeth, 6.50%, 2/01/34</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">874,274</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,668,769</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Real Estate&#151;1.3%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">AvalonBay Communities, Inc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">350</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.625%, 9/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">379,505</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">775</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.25%, 7/15/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">894,296</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,220</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">EOP Operating LP, 4.75%, 3/15/14</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,141,383</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">ERP Operating LP,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A-</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,950</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.20%, 4/01/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,933,581</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A-</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">825</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.95%, 3/02/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">919,545</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,268,310</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Telecommunication&#151;5.5%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,015</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">British Telecommunications PLC, 8.875%, 12/15/30 (United Kingdom)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,271,672</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Deutsche Telekom Intl. Finance BV (Netherlands)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,060</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.50%, 6/15/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,252,390</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,120</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.75%, 6/15/30</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,620,256</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,750</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">New England Telephone &amp; Telegraph Co., 7.875%, 11/15/29</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,027,323</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Nextel Communications, Inc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.375%, 11/15/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,162,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.50%, 2/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,412,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B3</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,750</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="69%"><FONT size=1 face="serif">Qwest Communications Intl., 7.50%, 2/15/14</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,610,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">SBC Communications, Inc., 5.875%, 8/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,562,235</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">230</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Verizon New Jersey, Inc., 7.85%, 11/15/29</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">267,329</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">750</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Verizon New Jersey, Inc., Ser. A, 5.875%, 1/17/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">784,178</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Vodafone Group PLC (United Kingdom)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">450</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 12/16/13&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">441,230</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">350</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 11/30/32</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">347,011</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,439</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.75%, 2/15/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,986,695</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="69%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">21,745,319</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">16</FONT>
</P>

<HR noshade align="center" width="100%" size=2>

<PAGE>
<A NAME="page_37"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Core Bond Trust (BHK) (continued)</FONT></B>
</P>
<TABLE width="95%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="10%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="66%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="66%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><B><FONT size=2 face="serif">Transportation&#151;1.6%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa3</FONT></div></TD>
   <TD width="1%"><div align="right"><FONT size=1 face="serif">$</FONT></div></TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,470</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Burlington Northern Santa Fe Railway, Ser. 1, 8.251%, 1/15/21</FONT></TD>
   <TD align="center" width="2%"><div align="right"><FONT size=1 face="serif">$</FONT></div></TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,799,722</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,410</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD><FONT size=1 face="serif">Canadian National Railway Co., 6.90%, 7/15/28 (Canada)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,535,589</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,450</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Canadian Pacific Railway Ltd., 6.25%, 10/15/11 (Canada)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,569,031</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,635</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Sea Containers Ltd., 10.50%, 5/15/12 (Bermuda)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,618,650</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">6,522,992</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Total Corporate Bonds</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">241,384,024</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>

   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><B><FONT size=2 face="serif">Taxable Municipal Bonds&#151;0.3%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">650</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">California Dept. of Wtr. Res. Pwr. Sply., 3.975%, 5/01/05</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">662,058</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">350</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Ohana Military Cmntys. LLC, 6.193%, 4/01/49</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">350,669</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Total Taxable Municipal Bonds</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,012,727</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><B><FONT size=2 face="serif">Foreign Government Bonds&#151;6.6%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,925</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Germany Federal Republic, 4.25%, 1/04/14</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">4,734,365</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aaa</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,075</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Kingdom of Spain, 5.15%, 7/30/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,390,163</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Kingdom of Sweden,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">21,325</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 1/28/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,926,605</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">17,515</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 8/15/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,614,324</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Quebec Province Canada,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">250</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 1/30/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">275,278</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">550</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.38%, 4/09/26</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">646,773</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,850</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">United Kingdom Treasury Bond, 5.00%, 3/07/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">6,871,143</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">United Mexican States,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Baa2</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">350</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.625%, 10/08/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">348,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Baa2</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.625%, 3/03/15</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">4,040,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Baa2</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,255</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 9/24/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,385,790</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Total Foreign Government Bonds</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">26,232,691</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>

   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><B><FONT size=1 face="serif">Total Long-Term Investments </FONT></B><FONT size=1 face="serif">(cost $607,301,070)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">611,547,467</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right"><div align="left"><B><FONT size=2 face="serif">SHORT-TERM INVESTMENTS&#151;9.0%</FONT></B></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><B><FONT size=2 face="serif">U.S. Government and Agency Securities&#151;9.0%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Federal Home Loan Bank,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">15,100</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;zero coupon, 5/03/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">15,099,286</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">15,925</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;zero coupon, 5/19/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">15,917,436</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">4,233</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right"><div align="left"><FONT size=1 face="serif">Federal Home Loan Mortgage Corp., zero coupon, 5/06/04</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">4,233,081</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">462</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right"><div align="left"><FONT size=1 face="serif">U.S. Treasury Bonds, zero coupon, 5/04/04</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">462,063</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><B><FONT size=1 face="serif">Total Short-Term Investments </FONT></B><FONT size=1 face="serif">(cost $35,711,866)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">35,711,866</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><B><FONT size=1 face="serif">Total investments before outstanding options written </FONT></B><FONT size=1 face="serif">(cost $643,012,936)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">647,259,333</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan="2"><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Notional</FONT></B></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan="2"><div align="center"><B><FONT size=2 face="serif">(000)</FONT></B></div></TD>
   <TD width="4%"><B></B></TD>
   <TD width="66%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan="2"><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right"><div align="left"><B><FONT size=2 face="serif">Outstanding Options Written&#151;(0.3%)</FONT></B></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,200</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right"><div align="left"><FONT size=1 face="serif">Federal National Mortgage Assoc., zero coupon, 5/06/04</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">0</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">52,700</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><div align="left"><FONT size=1 face="serif">Interest Rate Swap, 3.60% over 3-month LIBOR, expires 11/01/04</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">(160,053)</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">39,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><div align="left"><FONT size=1 face="serif">Interest Rate Swap, 5.75% over 3-month LIBOR, expires 9/23/05</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">(643,890)</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">11,100</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><div align="left"><FONT size=1 face="serif">Interest Rate Swap, 6.00% over 3-month LIBOR, expires 10/25/04</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">(229,104)</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">52</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right"><div align="left"><FONT size=1 face="serif">U.S. Treasury Bond Futures, expires 5/22/04</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">(95,875)</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">6</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right"><div align="left"><FONT size=1 face="serif">U.S. Treasury Bond Futures, expires 8/27/04</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">(24,562)</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="left"></div></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right"><div align="left"><FONT size=1 face="serif">Total Outstanding Options Written (premium received $1,904,227)</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">(1,153,484)</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><B><FONT size=1 face="serif">Total investments, net of outstanding options written&#151;163.5%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">646,105,849</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right"><div align="left"><FONT size=1 face="serif">Liabilities in excess of other assets&#151;(63.5)%</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">(251,005,182)</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><B><FONT size=1 face="serif">Net Assets&#151;100%</FONT></B></TD>
   <TD align="center" width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">395,100,667</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
  </TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<TABLE>
<tr>
   <td valign="top" colspan="2"><SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Using the higher of S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating.</FONT><BR><SUP><FONT size=1 face="serif">2</FONT></SUP>&nbsp;<FONT
size=1 face="serif">Entire or partial principal amount pledged as collateral for reverse repurchase agreements or financial futures contracts.</FONT><BR><SUP><FONT size=1 face="serif">3</FONT></SUP>&nbsp;<FONT size=1 face="serif">Security is not
registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2004, the Trust held 9.1% of its net assets, with a current
market value of $35,824,366, in securities restricted as to resale.</FONT><BR></td>
</tr>
</TABLE>
<P>
<FONT size=1 face="serif">Details of open reverse repurchase agreements are disclosed in Note 4 in the Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">17</FONT>
</P>

<HR noshade align="center" width="100%" size=2>

<PAGE><A NAME="page_39"></A>

<P>
<B><FONT face="serif">PORTFOLIO OF INVESTMENTS (unaudited) <br>
APRIL 30, 2004</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock High Yield Trust (BHY)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="9%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="68%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="68%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="68%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">LONG-TERM INVESTMENTS&#151;119.1%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Corporate Bonds&#151;115.3%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Aero &amp; Defense&#151;2.2%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="3%"><div align="right"><FONT size=1 face="serif">$</FONT></div></TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">BE Aerospace, Inc., 9.50%, 11/01/08</FONT></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,005,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">NR</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="5%"><SUP><FONT size=1 face="serif">2,3</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">Condor Systems, Inc., Ser. B, 11.875%, 5/01/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">105,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,110,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Automotive&#151;3.2%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B2</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Collins &amp; Aikman Products Co., 10.75%, 12/31/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">517,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B3</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Delco Remy Intl., Inc., 11.00%, 5/01/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,057,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,575,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Building &amp; Development&#151;2.1%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">D.R. Horton, Inc., 10.50%, 4/01/05</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,060,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Chemical&#151;9.0%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">250</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Avecia Group PLC, 11.00%, 7/01/09 (United Kingdom)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">198,750</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ba2</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Hercules, Inc., 11.125%, 11/15/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,200,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Huntsman LLC, 11.625%, 10/15/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,100,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Lyondell Chemical Co., 10.875%, 5/01/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,042,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">D</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">Solutia, Inc., 11.25%, 7/15/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">950,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">4,491,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Conglomerates&#151;1.9%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">NR</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,200</FONT></TD>
   <TD width="5%"><SUP><FONT size=1 face="serif">2,3,4</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">Nebco Evans Holding Co., 12.375%, 7/15/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">0</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Penhall Intl., Inc., 12.00%, 8/01/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">950,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">950,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Consumer Products&#151;12.6%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">American Greetings Corp., 11.75%, 7/15/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,175,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">250</FONT></TD>
   <TD width="5%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">Amscan Holdings, Inc., 8.75%, 5/01/14</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">253,750</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B3</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">438</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">National Vision, Inc., 12.00%, 3/30/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">251,543</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="5%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">Pantry, Inc., The, 7.75%, 2/15/14</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">502,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Revlon Consumer Products Corp.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.625%, 2/01/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,870,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B2</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12.00%, 12/01/05</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,130,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">St. John Knits Intl., Inc., 12.50%, 7/01/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,080,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">6,262,793</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Containers &amp; Glass&#151;5.5%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Crown Cork &amp; Seal, Inc., 8.00%, 4/15/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">467,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC+</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Radnor Holdings Corp., 11.00%, 3/15/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">870,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC+</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">U.S. Can Co., Ser. B, 12.375%, 10/01/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,380,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,717,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Ecological Services &amp; Equipment&#151;2.2%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Allied Waste NA, Inc., Ser. B, 10.00%, 8/01/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,070,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Electronics&#151;6.7%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,500</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Knowles Electronics Holdings, Inc., 13.125%, 10/15/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,637,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">536</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">On Semiconductor Corp., 12.00%, 3/15/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">661,960</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">3,299,460</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Energy&#151;10.9%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">AES Corp., 8.375%, 8/15/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,007,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Calpine Corp.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">230</FONT></TD>
   <TD width="5%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.75%, 7/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">203,550</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10.50%, 5/15/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">905,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">750</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">El Paso Production Holding Co., 7.75%, 6/01/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">712,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">250</FONT></TD>
   <TD width="5%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">Exco Resources, Inc., 7.25%, 1/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">252,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Mission Energy Holding Co., 13.50%, 7/15/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,090,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B2</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Orion Power Holdings, Inc., 12.00%, 5/01/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,230,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">5,401,050</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">18</FONT>
</P>

<HR noshade align="center" width="100%" size=2>

<PAGE>
<A NAME="page_41"></A>

<P>
<B><FONT size=2 face="serif">BlackRock High Yield Trust (BHY) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="7%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="72%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="72%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="72%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><B><FONT size=2 face="serif">Farming &amp; Agriculture&#151;0.5%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B2</FONT></div></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">250</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">Gold Kist, Inc., 10.25%, 3/15/14</FONT></TD>
   <TD align="center" width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">262,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><B><FONT size=2 face="serif">Finance &amp; Banking&#151;15.3%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">Alamosa Delaware, Inc., 8.50%, 1/31/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">483,750</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">NR</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">2,3,5</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">Ameriserve Finance Capital Corp., 12.00%, 9/15/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">25,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ba2</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">Capital Guardian High Yield, CBO, Ltd., Ser. 1A, 11.45%, 5/24/13 (Cayman Island)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">907,800</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,200</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Crum &amp; Forster Holdings Corp., 10.375%, 6/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,326,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">960</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Fairfax Financial Holdings Ltd., 6.875%, 4/15/08 (Canada)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">988,800</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><font size=1 face="serif">B</font><FONT size=1 face="serif">a3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,500</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">First Dominion Funding II, Ser. 1A, 11.614%, 4/25/14 (Cayman Island)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,941,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Madison River Capital Corp., 13.25%, 3/01/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,087,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B2</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">WMC Finance Co., 11.75%, 12/15/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">615,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">C</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,314</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">Zais Investment Grade Ltd., Class C, Pay-in-kind, 9.95%, 9/23/14 (Cayman Island)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">231,360</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>

   <TD width="3%">&nbsp;</TD>
   <TD width="72%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">7,606,710</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><B><FONT size=2 face="serif">Forest Products&#151;1.0%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Tembec Inds Inc., 8.625%, 6/30/09 (Canada)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">507,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><B><FONT size=2 face="serif">Health Care&#151;2.3%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">MedQuest Inc., Ser. B, 11.875%, 8/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,130,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><B><FONT size=2 face="serif">Home Furnishing&#151;3.6%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,760</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">O&#146;Sullivan Industries, Inc., 13.375%, 10/15/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">897,600</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Salton, Inc., 12.25%, 4/15/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">895,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,792,600</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><B><FONT size=2 face="serif">Industrial Equipment&#151;6.5%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">375</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Blount, Inc., 13.00%, 8/01/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">401,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Concentra Operating Corp., Ser. B, 13.00%, 8/15/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,097,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">250</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">Mail Well I Corp., 7.875%, 12/01/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">235,625</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B2</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">MSX Intl., 11.00%, 10/15/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">485,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Von Hoffmann Corp., 10.375%, 5/15/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">501,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Williams Scotsman, Inc., 9.875%, 6/01/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">497,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,218,125</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><B><FONT size=2 face="serif">Marketing&#151;1.1%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">Affinity Group, Inc., 9.00%, 2/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">532,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><B><FONT size=2 face="serif">Media&#151;14.5%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B1</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Alliance Atlantis Communications, Inc., 13.00%, 12/15/09 (Canada)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,230,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Charter Communications Holdings LLC,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10.75%, 10/01/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">887,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11.125%, 1/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">887,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">Granite Broadcasting Corp., 9.75%, 12/01/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">485,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">WRC Media Inc., 12.75%, 11/15/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,000,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">980</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">XM Satellite Radio Inc., 14.00%, 3/15/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,087,800</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CC</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">689</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Ziff Davis Media, Inc., Ser. B, Pay-in-Kind, 12.00%, 8/12/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">644,430</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">7,222,230</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><B><FONT size=2 face="serif">Non-Ferrous Metals &amp; Minerals&#151;0.5%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">NR</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">376</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">2,3,4</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">Republic Engineered Products LLC, 10.00%, 8/16/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">263,530</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">NR</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">2,3</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">Republic Technologies International LLC, 13.75%, 7/15/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">0</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">263,530</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><B><FONT size=2 face="serif">Pharmaceuticals&#151;1.0%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">Curative Hlth. Svcs. Inc., 10.75%, 5/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">501,875</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><B><FONT size=2 face="serif">Telecommunication&#151;7.4%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">ACC Escrow Corp., Ser. B, 10.00%, 8/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">482,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">NR</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">2,3</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">Asia Global Crossing Ltd., 13.375%, 10/15/10 (United Kingdom)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">220,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">250</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">IPCS, Inc., 11.50%, 5/01/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">255,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">5</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">Qwest Communications Intl., 7.50%, 2/15/14</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,380,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%"><FONT size=1 face="serif">Time Warner Telecom LLC, 9.75%, 7/15/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">855,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">2,4</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">UbiquiTel Operating Co., 9.875%, 3/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">501,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">NR</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">600</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">2,3</FONT></SUP></TD>
   <TD width="72%"><FONT size=1 face="serif">Velocita Corp., 13.75%, 5/15/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">60</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="72%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,693,810</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">19</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_43"></A>

<P>
<B><FONT size=2 face="serif">BlackRock High Yield Trust (BHY) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="9%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="64%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="64%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="64%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="64%"><B><FONT size=2 face="serif">Transportation&#151;5.3%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Overseas Shipholding Group, 7.50%, 2/15/24</FONT></TD>
   <TD align="center" width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">493,120</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Sea Containers Ltd., Ser. B, 10.75%, 10/15/06(Bermuda)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,051,250</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">TFM SA de CV, 12.50%, 6/15/12(Mexico)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,080,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="64%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,624,370</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="64%"><FONT size=1 face="serif">Total Corporate Bonds</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">57,292,803</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="64%"><B><FONT size=2 face="serif">Bank Loans&#151;1.0%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="64%"><FONT size=1 face="serif">BCP Luxemburg Holdings,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">375</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="64%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.10%, 2/19/05</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">374,062</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">125</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="64%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10.10%, 2/19/05</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">124,688</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="64%"><FONT size=1 face="serif">Total Bank Loans</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">498,750</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Shares</FONT></B></TD>
   <TD width="64%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="64%"><B><FONT size=2 face="serif">Common Stock&#151;2.8%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">8</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="64%"><FONT size=1 face="serif">Mattress Discounters Corp</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">0</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">54</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="64%"><FONT size=1 face="serif">Neon Communications Inc</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">134,055</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">134</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="64%"><FONT size=1 face="serif">NES Rentals Holdings, Inc</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,273,380</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="64%"><FONT size=1 face="serif">Total Common Stock</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,407,435</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><B><FONT size=2 face="serif">Preferred Securities&#151;0.0%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">1,098</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD><FONT size=1 face="serif">Adelphia Business Solutions, Inc., Ser. B, 12.875%</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">0</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Units</FONT></B></TD>
   <TD width="64%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="64%"><B><FONT size=2 face="serif">Warrants&#151;0.0%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">14</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2,5</FONT></SUP></TD>
   <TD><FONT size=1 face="serif">Mattress Discounters Corp., Expires 7/15/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">0</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">54</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD><FONT size=1 face="serif">Neon Communications, Inc., Expires 12/02/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">14</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2,5</FONT></SUP></TD>
   <TD><FONT size=1 face="serif">PF. Net Communications, Inc., Expires 5/15/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">0</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">24</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2,5</FONT></SUP></TD>
   <TD><FONT size=1 face="serif">Republic Technologies International LLC, Expires 7/15/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">20</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="64%"><FONT size=1 face="serif">Total Warrants</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">21</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="64%"><B><FONT size=1 face="serif">Total Long-Term Investments</FONT></B><FONT size=1 face="serif"> (cost $66,656,401)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">59,199,009</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD colspan=2 align="center"><b><font size=2 face="serif">Principal</font></b></TD>
   <TD width="64%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD colspan=2 align="center"><b><font size=2 face="serif">Amount</font></b></TD>
   <TD width="64%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD colspan="2" align="right"><div align="center"><B><FONT size=2 face="serif">(000</FONT></B><B><FONT size=2 face="serif">)</FONT></B></div></TD>
   <TD width="64%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><B><FONT size=2 face="serif">SHORT-TERM INVESTMENT&#151;16.7%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="64%"><B><FONT size=2 face="serif">U.S. Government Agency Security&#151;16.7%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">8,300</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Federal Home Loan Bank, zero coupon, 5/03/04 (cost $8,299,608)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">8,299,608</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="64%"><B><FONT size=1 face="serif">Total investments&#151;135.8% </FONT></B><FONT size=1 face="serif">(cost $74,956,009)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">67,498,617</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Liabilities in excess of other assets&#151;(35.8)%</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(17,776,577</FONT></TD>
   <TD width="3%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="64%"><B><FONT size=1 face="serif">Net Assets&#151;100%</FONT></B></TD>
   <TD align="center" width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">49,722,040</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<TABLE>
<tr>
   <td valign="top" colspan="2"><SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Using the higher of S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating.</FONT><BR><SUP><FONT size=1 face="serif">2</FONT></SUP>&nbsp;<FONT
size=1 face="serif">Illiquid securities representing 2.5% of net assets.</FONT><BR><SUP><FONT size=1 face="serif">3</FONT></SUP>&nbsp;<FONT size=1 face="serif">Issuer is technically in default and/or bankruptcy.</FONT><BR><SUP><FONT size=1
face="serif">4</FONT></SUP>&nbsp;<FONT size=1 face="serif">Security is fair valued.</FONT><BR><SUP><FONT size=1 face="serif">5</FONT></SUP>&nbsp;<FONT size=1 face="serif">Security is not registered under the Securities Act of 1933. These securities
may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2004, the Trust held 19.2% of its net assets, with a current market value of $9,570,481, in securities restricted as to
resale.</FONT><BR></td>
</tr>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">20</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_45"></A>

<P>
<B><FONT face="serif">PORTFOLIO OF INVESTMENTS (unaudited) <br>
APRIL 30, 2004</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock Income Opportunity Trust (BNA)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="8%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="73%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="73%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="73%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><B><FONT size=2 face="serif">LONG-TERM INVESTMENTS&#151;125.7%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><B><FONT size=2 face="serif">Mortgage Pass-Throughs&#151;29.3%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Federal Home Loan Mortgage Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">16,626</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 1/01/26 - 11/01/32</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">17,317,838</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.875%, 9/15/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">4,545,520</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Federal National Mortgage Assoc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">18,009</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, TBA</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">18,508,483</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">54,446</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 12/01/13 - 2/01/33</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">54,409,347</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">11,776</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00%, 3/01/27 - 11/01/32</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">12,057,087</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">12,413</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00%, TBA</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">12,961,557</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">477</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 2/01/24 - 1/01/29</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">505,112</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">163</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Government National Assoc., 8.00%, 4/15/24 - 11/15/25</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">178,491</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Total Mortgage Pass-Throughs</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">120,483,435</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><B><FONT size=2 face="serif">Federal Housing Administration&#151;1.5%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">GMAC Projects,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">740</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 37, 7.43%, 5/01/22</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">776,589</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">428</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 44, 7.43%, 8/01/22</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">448,541</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Merrill Projects,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">198</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 29, 7.43%, 10/01/20</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">207,748</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">432</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 42, 7.43%, 9/01/22</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">452,686</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,958</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Reilly Project, Series B-11, 7.40%, 4/01/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,052,620</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,985</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Westmore Project 8240, 7.25%, 4/01/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,071,326</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Total Federal Housing Administration</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">6,009,510</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><B><FONT size=2 face="serif">Non-Agency Multiple Class Mortgage Pass-Throughs&#151;0.0%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">77</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="73%"><FONT size=1 face="serif">Summit Mortgage Trust, Ser. 1, Class B1, 6.079%, 12/28/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">72,948</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><B><FONT size=2 face="serif">Adjustable Rate Mortgage Securities&#151;0.0%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">47</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Federal National Mortgage Assoc., Ser. 256, Class F, 2.625%, 11/25/23</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">41,349</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><B><FONT size=2 face="serif">Inverse Floating Rate Mortgages&#151;0.8%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Federal Home Loan Mortgage Corp., Ser. 1611, Class JC, 10.00%, 8/15/23</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,095,380</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Federal National Mortgage Assoc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,808</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 23, Class PS, 9.925%, 4/25/23</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,998,337</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">22</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 46, Class S, 22.614%, 5/25/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">6,556</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">25</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 49, Class S, 9.178%, 12/25/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,761</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">128</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 87, Class S, 23.701%, 8/25/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">158,160</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">39</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 145, Class S, 32.113%, 10/25/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">46,144</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Total Inverse Floating Rate Mortgages</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">3,307,338</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><B><FONT size=2 face="serif">Interest Only Asset-Backed Securities&#151;1.0%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">45,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Sterling Coofs Trust, 4/15/29</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">4,021,875</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><B><FONT size=2 face="serif">Interest Only Mortgage-Backed Securities&#151;5.4%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Federal Home Loan Mortgage Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">21</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 19, Class R, 3/15/20</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,725</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">0</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 75, Class R, 1/15/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">6</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">0</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 75, Class R, 1/15/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">6</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">0</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 173, Class R, 11/15/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">31</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">0</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 173, Class R, 11/15/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">32</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">6</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 176, Class M, 7/15/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">79</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 192, Class U, 2/15/22</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">8</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">36</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 200, Class R, 12/15/22</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">698</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">19</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1043, Class H, 2/15/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">19,922</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1054, Class I, 3/15/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">534</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">20</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1056, Class K, 3/15/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,599</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">25</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1057, Class J, 3/15/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">5,363</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">65</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1148, Class E, 10/15/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,387</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">19</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1178, Class O, 11/15/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">320</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">19</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1221 Class H, 3/15/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">476</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">683</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1223, Class H, 3/15/22</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">137,625</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">467</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1254, Class Z, 4/15/22</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">35,126</FONT></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">21</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_47"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Income Opportunity Trust (BNA) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="7%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="73%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="73%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="73%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><B><FONT size=2 face="serif">Interest Only Mortgage-Backed Securities&#151;(cont&#146;d)</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,695</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1809, Class SC, 12/15/23</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">67,040</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">976</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1831, Class PG, 3/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">110,589</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">9,518</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2611, Class QI, 9/15/32</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,171,593</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Federal National Mortgage Assoc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">199</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 5, Class H, 1/25/22</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">28,525</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">14</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 7, Class 2, 4/1/17</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">3,047</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">869</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 7, Class PH, 4/25/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">92,433</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">43</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 7, Class S, 3/25/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">6,154</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">129</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 10, Class S, 5/25/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">16,242</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">99</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 12, Class S, 5/25/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">22,421</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">9,445</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 16, Class IW, 11/25/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">706,221</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">63</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 17, Class S, 6/25/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">8,504</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 20, Class H, 3/25/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">58</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">88</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 33, Class PV, 10/25/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">19,646</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">9</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 38, Class N, 4/25/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,055</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">923</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 50, Class SI, 4/25/23</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">22,209</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 54, Class H, 5/25/05</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">190</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">16,224</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 64, Class QI, 1/25/33</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">3,646,603</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,856</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 70, Class IN, 5/25/15</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">381,747</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">10</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 84, Class H, 8/25/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">793</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">27</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 89, Class 2, 10/1/18</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">5,586</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">25,750</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 92, Class IC, 4/25/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">3,172,143</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">7</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 94, Class 2, 8/1/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,461</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">34</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 99, Class L, 8/25/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">4,777</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">6</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 123, Class M, 10/25/20</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">856</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">44</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 136, Class S, 11/25/20</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">48,726</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">54</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 139, Class PT, 10/25/21</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">5,538</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">30</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 141, Class SA, 8/25/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">7,006</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">998</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. G46, Class H, 12/25/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">185,416</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">10,532</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="73%"><FONT size=1 face="serif">Goldman Sachs Mortgage Securities Corp., Ser. 5, 6/19/27</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">210,633</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">349</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Government National Assoc., Ser. 3, Class E, 6/16/25</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">63,771</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">6,193</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="73%"><FONT size=1 face="serif">Hanover Grantor Trust, Ser. A, Class 1, 8/28/27</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">44,557</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,986</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="73%"><FONT size=1 face="serif">Morgan Stanley Capital 1, Inc., Ser. HF1, Class X, 7/15/29</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">96,142</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Residential Asset Securitization Trust,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">8,183</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. A3, Class X, 5/25/29</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">66,208</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,697</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. A5, Class A2, 9/25/30</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">55,622</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">9,563</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="73%"><FONT size=1 face="serif">Residential Funding Securities Corp., Ser. RM2, Class AI5, 5/25/33</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">10,536,916</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">9,350</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Salomon Brothers Mortgage Securities VII Inc., Ser. 1, Class IO, 3/25/22</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">67,599</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">21,304</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Vendee Mortgage Trust, Ser. 1, Class IO, 2/15/27</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">169,364</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Total Interest Only Mortgage-Backed Securities</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">22,254,328</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><B><FONT size=2 face="serif">Principal Only Mortgage-Backed Securities&#151;0.5%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">290</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="73%"><FONT size=1 face="serif">Federal Home Loan Mortgage Corp., Ser. 1739, Class B, 2/15/24</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">268,748</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Federal National Mortgage Assoc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">72</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 51, Class E, 2/25/23</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">49,660</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">33</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 70, Class A, 5/25/23</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">28,784</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">34</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 167, Class D, 10/25/17</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">31,882</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">57</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 203, Class 1, 2/1/23</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">49,045</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">44</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 228, Class 1, 6/1/23</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">38,081</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">162</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 279, Class 1, 7/1/26</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">139,881</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">6,055</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Resolution Funding Corp., Ser. B, 4/15/30</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,321,443</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Total Principal Only Mortgage-Backed Securities</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,927,524</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><B><FONT size=2 face="serif">U.S. Government and Agency Securities&#151;20.2%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">18,289</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Overseas Private Investment Corp., zero coupon&#151;7.35%, 5/29/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">18,863,466</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,956</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="73%"><FONT size=1 face="serif">Small Business Administration, Ser. 20K-1, 6.95%, 11/01/16</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,109,901</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">11,500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="73%"><FONT size=1 face="serif">U.S. Treasury Bonds, 5.375%, 2/15/31</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">11,647,315</FONT></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">22</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_49"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Income Opportunity Trust (BNA) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="9%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="68%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="68%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="68%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">U.S. Government and Agency Securities&#151;(cont&#146;d)</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">U.S. Treasury Notes,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">9,300</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.00%, 5/15/06</FONT></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">9,237,513</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">20,600</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 11/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">19,819,796</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">21,185</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 8/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">20,794,135</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">700</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.875%, 2/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">727,726</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Total U.S. Government and Agency Securities</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">83,199,852</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Collateralized Mortgage Obligation Residuals&#151;0.0%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Collateralized Mortgage Obligation Trust,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">4</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 40, Class R, 58.05%, 4/01/18</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">385</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">64</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 42, Class R, 6.00%, 10/01/14</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">932</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Morgan Stanley Mortgage Trust,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">70</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 38, Class 2, 16.109%, 11/20/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">11,770</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">75</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 39, Class 2, 16.906%, 12/20/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">12,752</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Total Collateralized Mortgage Obligation Residuals</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">25,839</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Corporate Bonds&#151;66.2%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Aero &amp; Defense&#151;2.2%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,235</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">BE Aerospace, Inc., 9.50%, 11/01/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,241,175</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">L-3 Communications Corp., 7.625%, 6/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,616,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,250</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Lockheed Martin Corp., 8.50%, 12/01/29</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,581,063</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Northrop Grumman Corp., 7.125%, 2/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,130,030</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Raytheon, 7.00%, 5/15/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,117,160</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,200</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Raytheon Co., 6.15%, 11/01/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,295,832</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">8,981,510</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Automotive&#151;1.6%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ba2</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Autonation, Inc., 9.00%, 8/01/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,702,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Briggs &amp; Stratton Corp., 8.875%, 3/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,380,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,340</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Dura Operating Corp., Ser. B, 8.625%, 4/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,445,300</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">6,527,800</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Basic Material&#151;0.8%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A2</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Alcoa, Inc., 7.375%, 8/01/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,300,960</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Oregon Steel Mills, Inc., 10.00%, 7/15/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,030,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,330,960</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Building &amp; Development&#151;0.6%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">D.R. Horton, Inc., 10.50%, 4/01/05</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,650,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Chemical&#151;2.0%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Avecia Group PLC, 11.00%, 7/01/09 (United Kingdom)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">397,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Dow Chemical Co.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">750</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.75%, 12/15/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">797,760</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,400</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00%, 10/01/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,476,454</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Lyondell Chemical Co., 11.125%, 7/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,337,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,750</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Noveon, Inc., Ser. B, 11.00%, 2/28/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,056,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">8,065,464</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Conglomerates&#151;1.2%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,650</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">General Electric Co., 5.00%, 2/01/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,634,597</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,300</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Honeywell, Inc., 6.125%, 11/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,400,581</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,035,178</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Consumer Products&#151;7.9%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,875</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">American Seafoods Group LLC, 10.125%, 4/15/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,250,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Avery Dennison Corp., 4.875%, 1/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,975,580</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Buffets Inc., 11.25%, 7/15/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,195,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">General Mills, Inc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">550</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">5.125%, 2/15/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">575,009</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,700</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">6.00%, 2/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,791,579</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Kellogg Co.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">700</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">Ser. B, 6.00%, 4/01/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">742,308</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Ser. B, 6.60%, 4/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,220,620</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Kraft Foods, Inc., 5.625%, 11/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,071,060</FONT></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">23</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_51"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Income Opportunity Trust (BNA) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="8%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="71%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="71%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="71%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Consumer Products&#151;(cont&#146;d)</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Kroger Co., 5.50%, 2/01/13</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,010,330</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Procter &amp; Gamble Co., 6.875%, 9/15/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,393,540</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Roundys, Inc., Ser. B, 8.875%, 6/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,170,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,495</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Safeway, Inc., 6.50%, 3/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,685,715</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Unilever Capital Corp., 7.125%, 11/01/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,298,240</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Wal-Mart Stores, Inc., 6.875%, 8/10/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,375,030</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Yum! Brands, Inc., 8.875%, 4/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,657,120</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">32,411,131</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Containers &amp; Glass&#151;1.9%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Crown European Holdings SA, 9.50%, 3/01/11 (France)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,680,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,250</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Owens-Brockway Glass Container, Inc., 8.875%, 2/15/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,435,625</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,275</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Plastipak Holdings, Inc., 10.75%, 9/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,457,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,240</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Stone Container Corp., 9.25%, 2/01/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,364,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">7,936,625</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Ecological Services &amp; Equipment&#151;1.4%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Allied Waste NA, Inc., Ser. B, 10.00%, 8/01/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,210,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,250</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Casella Waste Systems Inc., 9.75%, 2/01/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,497,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,707,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Electronics&#151;0.4%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,750</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Chippac Int. Ltd., Ser. B, 12.75%, 8/01/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,890,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Energy&#151;7.1%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">600</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="71%"><FONT size=1 face="serif">Anadarko Petroleum Corp., 5.375%, 3/01/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">632,370</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Chesapeake Energy Corp., 9.00%, 8/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,856,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Conoco Funding Co., 6.35%, 10/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,304,020</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Dominion Resources, Inc., 5.70%, 9/17/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,067,120</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Dresser, Inc., 9.375%, 4/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,700,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="71%"><FONT size=1 face="serif">DTE Energy Co., 7.05%, 6/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,652,220</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="71%"><FONT size=1 face="serif">Dynegy Holdings Inc., 10.125%, 7/15/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,200,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B1</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">El Paso Natural Gas Co., 7.625%, 8/01/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,025,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">El Paso Production Holding Co., 7.75%, 6/01/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,425,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">640</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Exelon Corp., 6.75%, 5/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">705,407</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">FirstEnergy Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">480</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. B, 6.45%, 11/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">504,797</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. C, 7.375%, 11/15/31</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,575,408</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,250</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Kinder Morgan Energy Partners LP, 7.30%, 8/15/33</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,356,663</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Kinder Morgan, Inc., 6.50%, 9/01/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,076,390</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,800</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Occidental Petroleum Corp., 6.75%, 1/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,001,510</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Progress Energy, Inc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Baa2</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,800</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 3/01/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,922,778</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Baa2</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.10%, 3/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,221,860</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">29,226,793</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Finance &amp; Banking&#151;15.1%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,450</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Bank of America Corp., 7.80%, 2/15/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,847,684</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,400</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="71%"><FONT size=1 face="serif">Bank One Corp., 6.50%, 2/01/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,498,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="71%"><FONT size=1 face="serif">Barclays Bank PLC, 6.86%, 9/29/49 (United Kingdom)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,099,764</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A1</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Bear Stearns Co., Inc., 6.50%, 5/01/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">536,575</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">6,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Citigroup, Inc., 5.625%, 8/27/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">6,256,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Credit Suisse First Boston USA, Inc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">700</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.125%, 11/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">748,020</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.125%, 7/15/32</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,114,540</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Crum &amp; Forster Holdings Corp., 10.375%, 6/15/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,105,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="71%"><FONT size=1 face="serif">Federal National Mortgage Assoc., 4.375%, 9/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,878,640</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="71%"><FONT size=1 face="serif">Ford Motor Credit Co., 6.875%, 2/01/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,179,730</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">General Electric Capital Corp., Ser. A, 6.75%, 3/15/32</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,223,770</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">General Motors Acceptance Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">700</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 1/15/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">741,489</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.875%, 8/28/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,157,280</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Goldman Sachs Group, Inc., 6.60%, 1/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,097,110</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A1</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,650</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Household Finance Corp., 6.375%, 10/15/11 - 11/27/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,940,109</FONT></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">24</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_53"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Income Opportunity Trust (BNA) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="9%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="71%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="71%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="71%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Finance &amp; Banking&#151;(cont&#146;d)</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">JP Morgan Chase &amp; Co.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,100</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.25%, 5/30/07</FONT></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,211,426</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 2/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,112,310</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">KFW Intl. Finance, Inc., 5.25%, 6/28/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">3,166,950</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ba2</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Labranche &amp; Co., Inc., 12.00%, 3/02/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,175,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Lehman Brothers Holdings, Inc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">850</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 5/15/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">909,016</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.625%, 1/18/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,659,240</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10.375%, 6/01/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,612,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">MetLife, Inc., 5.375%, 12/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,043,540</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Morgan Stanley,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">600</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.80%, 4/01/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">640,398</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,600</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 4/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,775,904</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Northern Trust Co., 6.30%, 3/07/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,185,240</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">UBS Preferred Funding Trust I, 8.622%, 10/29/49</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,417,842</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa1</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Wells Fargo Bank, 7.55%, 6/21/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,319,980</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B2</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="71%"><FONT size=1 face="serif">WMC Finance Co., 11.75%, 12/15/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,230,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">61,883,557</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Forest Products&#151;1.8%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Caraustar Industries, Inc., 9.875%, 4/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,040,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Tembec Industries, Inc., 8.50%, 2/01/11 (Canada)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,537,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Weyerhaeuser Co.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,550</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.95%, 11/01/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,652,068</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 3/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,096,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">7,325,818</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Health Care&#151;1.4%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Bristol Myers Squibb Co., 5.75%, 10/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,054,160</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">NR</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">HealthSouth Corp., 7.00%, 6/15/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,970,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Omnicare, Inc., Ser. B, 8.125%, 3/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,646,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">5,670,410</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Hotels &amp; Casinos&#151;3.6%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Boyd Gaming Corp., 8.75%, 4/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,207,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Extended Stay America, Inc., 9.875%, 6/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,380,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,700</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Hammons John Q. Hotels LP, Ser. B, 8.875%, 5/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,874,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Herbst Gaming, Inc., Ser. B, 10.75%, 9/01/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,691,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ba2</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">MGM Mirage, 9.75%, 6/01/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,130,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ba2</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Park Place Entertainment Corp., 8.875%, 9/15/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,230,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Starwood Hotels &amp; Resorts World, 7.875%, 5/01/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">3,318,750</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">14,831,750</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Industrial Equipment&#151;0.9%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,200</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Concentra Operating Corp., Ser. B, 13.00%, 8/15/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,317,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,010</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Manitowoc, Inc., 10.50%, 8/01/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,291,400</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">3,608,400</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Media&#151;4.7%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B1</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Alliance Atlantis Communications, Inc., 13.00%, 12/15/09 (Canada)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,230,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">AOL Time Warner, Inc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.70%, 5/01/32</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,203,940</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.125%, 1/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">3,684,930</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ca</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Charter Communications Holdings LLC, 10.75%, 10/01/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">2,662,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Comcast Cable Communications, Inc., 6.75%, 1/30/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,094,210</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">EchoStar DBS Corp., 10.375%, 10/01/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">3,240,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Quebecor Media, Inc., 11.125%, 7/15/11 (Canada)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">1,150,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">WRC Media, Inc., 12.75%, 11/15/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">3,000,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">19,265,580</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Other&#151;4.6%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">17,040</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="71%"><FONT size=1 face="serif">Targeted Return Index Securities Trust, Inc., Ser. 10-2002, 6.962%, 1/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">18,921,216</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">25</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_55"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Income Opportunity Trust (BNA) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="8%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="67%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="67%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=2 face="serif">Real Estate&#151;0.7%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">AvalonBay Communities, Inc., 6.625%, 9/15/11</FONT></TD>
   <TD align="center" width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,084,300</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">800</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">EOP Operating LP, 7.00%, 7/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">887,496</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ba3</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">802</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">HMH Properties, Inc., Ser. B, 7.875%, 8/01/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">832,075</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,803,871</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=2 face="serif">Technology&#151;0.5%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Seagate Technology Holdings, 8.00%, 5/15/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,160,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=2 face="serif">Telecommunication&#151;3.8%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,460</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">AT&amp;T Broadband Corp., 8.375%, 3/15/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,931,631</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Deutsche Telekom Intl. Finance BV, 8.50%, 6/15/10 (Netherlands)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,363,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ba3</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">PanAmSat Corp., 8.50%, 2/01/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,390,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">SBC Communications, Inc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">450</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.875%, 8/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">468,671</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 3/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,073,020</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Verizon Global Funding Corp., 7.75%, 6/15/32</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,141,190</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Verizon Pennsylvania, Inc., Ser. A, 5.65%, 11/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,105,960</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Vodafone Group PLC, 7.75%, 2/15/10 (United Kingdom)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,159,260</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">15,632,732</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=2 face="serif">Transportation&#151;2.0%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Burlington Northern Santa Fe Corp., 5.90%, 7/01/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,052,810</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Canadian National Railway Co., 6.375%, 10/15/11 (Canada)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,089,550</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,475</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Canadian Pacific Railway Ltd., 6.25%, 10/15/11 (Canada)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,596,083</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Railamerica Transportation Corp., 12.875%, 8/15/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,320,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Union Pacific Corp., 6.125%, 1/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,135,600</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">8,194,043</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Total Corporate Bonds</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">272,060,338</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD><B><FONT size=2 face="serif">Foreign Government Bonds&#151;0.8%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Baa2</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">United Mexican States, 8.00%, 9/24/22</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,174,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=1 face="serif">Total Long-Term Investments </FONT></B><FONT size=1 face="serif">(cost $501,821,204)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">516,578,336</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right"><div align="left"><B><FONT size=2 face="serif">SHORT-TERM INVESTMENT&#151;7.9%</FONT></B></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=2 face="serif">U.S. Government and Agency Security&#151;7.9%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">32,629</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">U.S. Treasury Notes, zero coupon, 5/03/04 (cost $32,628,750)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">32,628,750</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD><B><FONT size=1 face="serif">Total investments before investment </FONT></B><B><FONT size=1 face="serif">sold short </FONT></B><B><FONT size=1 face="serif">and </FONT></B><B><FONT size=1 face="serif">outstanding options written </FONT></B><FONT size=1 face="serif">(cost $534,449,954)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">549,207,086</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD><B><FONT size=2 face="serif">INVESTMENT </FONT></B><B><FONT size=2 face="serif">SOLD SHORT&#151;(7.8%)</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=1 face="serif">(33,000</FONT></TD>
   <TD width="5%"><FONT size=1 face="serif">)</FONT></TD>
   <TD><FONT size=1 face="serif">U.S. Treasury Notes, 2.625%, 5/15/08 </FONT><FONT size=1 face="serif">(proceeds $</FONT><FONT size=1 face="serif">32,271,393)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(32,141,472</FONT></TD>
   <TD width="3%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD><B><FONT size=2 face="serif">Outstanding Options Written&#151;(0.5%)</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">56,300</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right"><div align="left"><FONT size=1 face="serif">Interest Rate Swap, 3.60% over 3-month LIBOR, expires 11/01/04</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(170,986</FONT></TD>
   <TD width="3%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">55,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right"><div align="left"><FONT size=1 face="serif">Interest Rate Swap, 5.75% over 3-month LIBOR, expires 9/23/05</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(908,050</FONT></TD>
   <TD width="3%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">11,900</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right"><div align="left"><FONT size=1 face="serif">Interest Rate Swap, 6.00% over 3-month LIBOR, expires 10/25/04</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(245,616</FONT></TD>
   <TD width="3%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">55</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">U.S. Treasury Bond Futures, expires 5/22/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(101,406</FONT></TD>
   <TD width="3%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">156</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">U.S.Treasury Bond Futures, expires 8/27/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(638,625</FONT></TD>
   <TD width="3%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=1 face="serif">Total Outstanding Options Written</font></B><FONT size=1 face="serif"> <FONT size=1 face="serif">(premium received $2,658,335)</FONT></font></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(2,064,683</FONT></TD>
   <TD width="3%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD><B><FONT size=1 face="serif">Total investments, net of investments sold short and outstanding options written&#151;125.3%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">515,000,931</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Liabilities in excess of other assets&#151;(25.3)%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(104,119,186</FONT></TD>
   <TD width="3%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=1 face="serif">Net Assets&#151;100%</FONT></B></TD>
   <TD align="center" width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">410,881,745</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<TABLE>
<tr>
   <td valign="top" colspan="2"><SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Using the higher of S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating.</FONT><BR><SUP><FONT size=1 face="serif">2</FONT></SUP>&nbsp;<FONT
size=1 face="serif">Entire or partial principal amount pledged as collateral for reverse repurchase agreements or financial futures contracts.</FONT><BR><SUP><FONT size=1 face="serif">3</FONT></SUP>&nbsp;<FONT size=1 face="serif">Security is not
registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2004, the Trust held 5.8% of its net assets, with a current
market value of $23,645,260, in securities restricted as to resale.</FONT><BR></td>
</tr>
</TABLE>
<P>
<FONT size=1 face="serif">Details of open reverse repurchase agreements are disclosed in Note 4 in the Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">26</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_57"></A>

<P>
<B><FONT face="serif">PORTFOLIO OF INVESTMENTS (unaudited) <br>
APRIL 30, 2004</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock Income Trust Inc. (BKT)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="9%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="67%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="67%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="67%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=2 face="serif">LONG-TERM INVESTMENTS&#151;147.3%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=2 face="serif">Mortgage Pass-Throughs&#151;33.7%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Federal Home Loan Mortgage Corp.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">19,204</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 10/01/16 - 5/01/17</FONT></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">19,719,488</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">96</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 5/01/29 - 5/01/30</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">99,707</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">24</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.50%, 2/01/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">25,985</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">165</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 11/01/15</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">173,469</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">120</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.50%, 10/01/06 - 3/01/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">127,199</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">331</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.00%, 9/01/20</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">369,814</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Federal National Mortgage Assoc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">18,650</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 6/01/33</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">18,082,629</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">50,279</FONT></TD>
   <TD width="5%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 12/01/13 - 9/01/17</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">51,603,677</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">15,125</FONT></TD>
   <TD width="5%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00%, 11/01/31 - 10/01/32</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">15,470,884</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">8,334</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 2/01/26 - 5/01/31&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">8,677,108</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">13,201</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 6/01/26 - 2/01/32</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">13,952,934</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">5,249</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.50%, 11/01/14 - 9/01/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,765,638</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">714</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 5/01/08 - 5/01/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">758,371</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">13</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.50%, 1/01/19 - 9/01/19</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">14,171</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">8,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 5/13/04, TBA</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">7,750,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 5/13/04, TBA</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,987,500</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Government National Mortgage Assoc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">154</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 10/15/17</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">164,480</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,065</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.50%, 8/15/21 - 12/15/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,151,583</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">724</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 10/15/22 - 2/15/29</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">792,118</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">62</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.00%, 6/15/18 - 9/15/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">70,334</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Total Mortgage Pass-Throughs</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">149,757,089</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=2 face="serif">Federal Housing Administration&#151;3.3%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">GMAC Projects,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">745</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 46, 7.43%, 1/01/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">781,030</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">657</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 51, 7.43%, 2/01/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">689,013</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,728</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 56, 7.43%, 11/01/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,812,447</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">55</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Merrill Project, Ser. 54, 7.43%, 5/15/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">57,722</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">891</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Reilly Project, Ser. 41, 8.28%, 3/01/20</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">908,964</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">USGI Projects,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">243</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 87, 7.43%, 12/01/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">254,638</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,207</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 99, 7.43%, 10/01/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,265,413</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,418</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 6302, 7.43%, 12/01/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,481,687</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">6,152</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Yorkville, Ser. 6094, 7.43%, 6/01/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">6,454,066</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Total Federal Housing Administration</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">14,704,980</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=2 face="serif">Agency Multiple Class Mortgage Pass-Throughs&#151;10.4%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Federal Home Loan Mortgage Corp.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">480</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 19, Class F, 8.50%, 3/15/20</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">479,839</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">7,729</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. T-11, Class A-9, 2.705%, 1/25/28</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">6,924,609</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Federal National Mortgage Assoc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">571</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 43, Class E, 7.50%, 4/25/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">598,079</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">6,317</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 72, Class ZG, 8/25/18</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">6,317,398</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">12,264</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 135, Class PB, 6.00%, 1/25/34</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">12,735,398</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">12,947</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2758, Class KV, 5/15/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">12,903,027</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Government National Mortgage Assoc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,785</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 5, Class Z, 7.00%, 5/16/26</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,962,596</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,500</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 33, Class PB, 6.50%, 7/20/31</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,555,086</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">4,334</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 58, Class IT, 5.50%, 7/20/33</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">736,205</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Total Agency Multiple Class Mortgage Pass-Throughs</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">46,212,237</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=2 face="serif">Non-Agency Multiple Class Mortgage Pass-Throughs&#151;0.0%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">218</FONT></TD>
   <TD width="5%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="67%"><FONT size=1 face="serif">Summit Mortgage Trust, Ser. 1, Class B1, 6.079%, 12/28/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">218,843</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">27</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_59"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Income Trust Inc. (BKT) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="8%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="69%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=3 align="center"><B><FONT size=2 face="serif">Amount</FONT></B><B><FONT size=2 face="serif"><br>
    </FONT></B></TD>
   <TD align="center" width="69%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD colspan=3 align="center"><b><font size=2 face="serif">(000)</font></b></TD>
   <TD align="center" width="69%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Adjustable Rate Mortgage Securities&#151;0.1%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Federal National Mortgage Assoc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">251</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 38, Class F, 8.325%, 4/25/21</FONT></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">279,291</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">106</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 256, Class F, 2.625%, 11/25/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">93,032</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Total Adjustable Rate Mortgage Securities</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">372,323</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Inverse Floating Rate Mortgages&#151;3.5%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Federal Home Loan Mortgage Corp.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">82</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1160, Class F, 35.381%, 10/15/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">95,030</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">953</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1616, Class SB, 8.50%, 11/15/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">984,897</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">3,148</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1688, Class S, 10.971%, 12/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,346,609</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Federal National Mortgage Assoc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">255</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 38, Class SA, 10.186%, 4/25/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">271,174</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">46</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 46, Class S, 22.614%, 5/25/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">14,077</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">53</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 49, Class S, 9.178%, 12/25/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,928</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">1,685</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 72, Class S, 8.75%, 5/25/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,739,870</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">281</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 87, Class S, 23.701%, 8/25/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">345,581</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">726</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 93, Class S, 8.50%, 5/25/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">746,289</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">80</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 145, Class S, 32.113%, 10/25/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">93,916</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">488</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 170, Class SC, 9.00%, 9/25/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">504,172</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">2,759</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 196, Class SC, 9.413%, 10/25/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,893,401</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">214</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 214, Class S, 14.336%, 12/25/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">213,725</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">927</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 214, Class SH, 15.461%, 12/25/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,008,642</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">2,411</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 247, Class SN, 10.00%, 12/25/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,471,079</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aaa</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">670</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Kidder Peabody Acceptance Corp., Ser. 1, Class A6, 14.578%, 8/25/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">651,224</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">198</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Residential Funding Mortgage Securities Inc., Ser. S36, Class A13, 13.898%, 10/25/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">199,514</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Total Inverse Floating Rate Mortgages</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">15,585,128</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Interest Only Asset-Backed Securities&#151;1.1%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">56,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Sterling Coofs Trust, 4/15/29</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,005,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Interest Only Mortgage-Backed Securities&#151;19.9%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">21,665</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">ABN Amro Mortgage Corp., Ser. IV, Class A2, 3/25/33</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">888,247</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">American Housing Trust,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">368</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. III, Class 4, 3/25/19</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,999</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">86</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. VII, Class 2, 11/25/20</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">180,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=1 face="serif">103,177</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Commercial Mortgage Acceptance Corp., Ser. ML1, 12/15/30</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,870,085</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">32,692</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="69%"><FONT size=1 face="serif">CS First Boston Mortgage Securities Corp., Ser. C1, Class AX, 6/20/29</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,536,940</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Federal Home Loan Mortgage Corp.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">46</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 19, Class R, 3/15/20</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,853</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">0</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 75, Class R, 1/15/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">26</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">0</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 173, Class R, 11/15/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">127</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">13</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 176, Class M, 7/15/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">169</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">1</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 192, Class U, 2/15/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">17</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">78</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 200, Class R, 12/15/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,499</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">4,835</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 204, 5/1/29</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,060,619</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">41</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1043, Class H, 2/15/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">42,771</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">6</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1054, Class I, 3/15/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,147</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">43</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1056, Class K, 3/15/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,579</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">53</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1057, Class J, 3/15/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">11,514</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">140</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1148, Class E, 10/15/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,979</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">41</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1178, Class O, 11/15/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">686</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">42</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1221, Class H, 3/15/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,021</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1598, Class J, 10/15/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,220,410</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">94</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1610, Class PM, 4/15/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">96,045</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">1,282</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1706, Class IA, 10/15/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">95,952</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">409</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1720, Class PK, 1/15/24</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">45,234</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">4,491</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1809, Class SC, 12/15/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">177,659</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">10,583</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1914, Class PC, 12/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">130,383</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">1,494</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1961, Class H, 5/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,554,372</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">14,711</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2002, Class HJ, 10/15/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">450,034</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">144</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2063, Class PI, 4/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,171</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">703</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2099, Class JB, 9/15/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">40,444</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=1 face="serif">7,066</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2218, Class Z, 3/15/30</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">8,001,776</FONT></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">28</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_61"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Income Trust Inc. (BKT) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="9%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="67%">&nbsp;</TD>
   <TD align="center" colspan=2><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="67%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="67%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=3><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=2 face="serif">Interest Only Mortgage-Backed Securities&#151;(cont&#146;d)</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,320</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2296, Class SA, 3/15/16</FONT></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">157,866</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,225</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2345, Class PQ, 8/15/16</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,359,479</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,062</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2444, Class ST, 9/15/29</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">191,519</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,876</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2513, Class BI, 12/15/15</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">82,895</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,102</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2542, Class MX, 5/15/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">354,870</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,546</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2543, Class IM, 9/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">164,260</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">6,929</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2545, Class NI, 3/15/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">714,587</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">110,062</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2559, Class IO, 8/15/30</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">464,325</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">10,698</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2561, Class EW, 9/15/16</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,178,249</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">17,371</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2611, Class QI, 9/15/32</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,963,454</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">29,000</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2633, Class PI, 3/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,635,890</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">11,963</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2658, Class PI, 6/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,263,110</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">5,662</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2672, Class TQ, 3/15/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">755,412</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,633</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2687, Class IL, 9/15/18</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">635,835</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">26,076</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2687, Class IQ, 9/15/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,763,579</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">6,533</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2693, Class IB, 6/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">861,616</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">5,264</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2694, Class LI, 7/15/19</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">625,074</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">22,898</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 2786, Class PI, 10/15/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,760,267</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">23,268</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. G-60, Class HS, 4/25/24</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,139,845</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Federal National Mortgage Assoc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">511</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 5, Class H, 1/25/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">73,350</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">30</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 7, Class 2, 4/1/17</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">6,541</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">93</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 7, Class S, 3/25/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">13,214</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">277</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 10, Class S, 5/25/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">34,872</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">10,531</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 11, Class PI, 1/25/19</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">294,351</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">213</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 12, Class S, 5/25/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">48,136</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">12,037</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 13, Class IG, 10/25/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,396,157</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">26,424</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 16, Class PI, 11/25/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,800,295</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">134</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 17, Class S, 6/25/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">18,259</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 20, Class H, 3/25/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">124</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">35,902</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 23, Class ES, 10/25/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,141,450</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">189</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 33, Class PV, 10/25/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">42,175</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">6,279</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 33, Class SG, 3/25/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">460,520</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">4,898</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 37, Class SE, 10/25/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">29,646</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">43,860</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 38, Class MI, 9/25/20</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,015,882</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">19</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 38, Class N, 4/25/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,266</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">14,112</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 39, Class IA, 10/25/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,628,711</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,846</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 50, Class SI, 4/25/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">44,419</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">7,372</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 51, Class IE, 4/25/26</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,344,155</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">8</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 54, Class H, 5/25/05</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">408</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">6,044</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 55, Class GI, 7/25/19</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,151,559</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,399</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 62, Class IC, 7/25/15</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">135,772</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,421</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 62, Class IL, 3/25/24</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">221,708</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">24,619</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 64, Class QI, 1/25/33</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,533,262</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">9,058</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 66, Class CI, 7/25/33</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,176,759</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">7,526</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 68, Class SC, 1/25/24</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">736,794</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">23,582</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 70, Class HI, 7/25/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,576,306</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">7,139</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 71, Class EI, 8/25/33</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,585,144</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">7,989</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 82, Class IR, 9/25/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">495,451</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">22</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 84, Class H, 8/25/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,703</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">31,703</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 88, Class TI, 11/25/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,332,040</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">58</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 89, Class 2, 6/1/18</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">11,992</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">28,688</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 90, Class M, 1/25/28</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,244,061</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">15</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 94, Class 2, 8/1/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,137</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">74</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 99, Class L, 8/25/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">10,257</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">6,639</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 122, Class IA, 9/25/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">358,423</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,741</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 122, Class IC, 9/25/18</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">793,129</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">12</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 123, Class M, 10/25/20</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,839</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">94</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 136, Class S, 11/25/20</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">104,615</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">116</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 139, Class PT, 10/25/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">11,890</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">64</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 141, Class SA, 8/25/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">15,042</FONT></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">29</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_63"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Income Trust Inc. (BKT) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="8%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="70%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="70%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="70%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Interest Only Mortgage-Backed Securities&#151;(cont&#146;d)</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,568</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 199, Class SB, 10/25/23</FONT></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">439,669</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,068</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 302, Class 2, 6/1/29</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,135,580</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,825</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 339, Class 8, 7/1/33</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">688,537</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">9,395</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 602, Class BI, 10/25/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,453,412</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">156</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. G-50, Class G, 12/25/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">22,455</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">134</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. G92-12, Class C, 2/25/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">22,759</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,543</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. G92-60, Class SB, 10/25/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">42,160</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,627</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. W4, 12/25/28</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">288,599</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">186</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">First Boston Mortgage Securities Corp., Ser. C, Class I, 4/25/17</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">32,167</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">32,970</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">GMAC Commercial Mortgage Securities, Inc., Ser. C1, Class X, 7/15/27</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,705,639</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">20,936</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Goldman Sachs Mortgage Securities Corp., Ser. 5, 2/19/25</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">418,723</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">11,790</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Hanover Grantor Trust, Ser. A, Class 1, 8/1/27</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">88,423</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">166</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Kidder Peabody Acceptance Corp., Ser. B, Class A2, 4/22/18</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">34,468</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,345</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Merrill Lynch Mortgage Investors, Inc., Ser. C2, 6/15/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">111,035</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">9,925</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Morgan Stanley Capital 1, Inc., Ser. HF1, Class X, 6/15/17</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">319,545</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">39</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Prudential Securities Inc., Ser. 15, Class 1G, 5/20/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">15,816</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,453</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Residential Accredit Loans, Inc., Ser. QS7, Class A1, 4/25/33</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">719,658</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">23,726</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Small Business Administration, Ser. 1, 4/1/15</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">177,945</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">199,701</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Vendee Mortgage Trust, Ser. 2, Class 1, 5/15/29</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">293,560</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Total Interest Only Mortgage-Backed Securities</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">88,405,854</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Principal Only Mortgage-Backed Securities&#151;12.4%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">162</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Collateralized Mortgage Obligation Trust, Ser. 29, Class A, 5/23/17</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">146,198</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Countrywide Home Loans Inc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">8,959</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 26, 8/25/33</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">6,117,969</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,678</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. J4, 6/25/33</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,346,865</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,291</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. J5, 7/25/33</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,564,892</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,594</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. J8, 9/25/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,073,148</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Drexel Burnham Lambert, Inc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">67</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. K, Class 1, 9/23/17</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">59,149</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">685</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. V, Class 1, 9/1/18</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">630,606</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Federal Home Loan Mortgage Corp.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">415</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1418, Class M, 11/15/22</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">381,343</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,112</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1571, Class G, 8/15/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">967,842</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,411</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1691, Class B, 3/15/24</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,670,727</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">649</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 1739, Class B, 2/15/24</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">602,257</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">562</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. T-8, Class A-10, 11/15/28</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">477,617</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Federal National Mortgage Assoc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">106</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 7, Class J, 2/25/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">94,338</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,540</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 13, Class PR, 3/25/32</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,133,207</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">154</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 51, Class E, 2/25/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">106,619</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">71</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 70, Class A, 5/25/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">61,799</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">72</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 167, Class D, 10/25/17</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">68,449</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">123</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 203, Class 1, 2/1/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">105,299</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">95</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 228, Class 1, 5/1/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">81,759</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,052</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 249, Class B, 11/25/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,335,397</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">683</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 273, Class 1, 7/1/26</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">580,961</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">419</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 279, Class 1, 7/1/26</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">360,731</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">12,084</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 328, Class 1, 11/1/32</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">9,478,417</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">10,130</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 329, Class 1, 12/1/32</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">7,503,664</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,038</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 333, Class 1, 3/1/33</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,959,209</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">7,242</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 338, Class 1, 6/1/33</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,291,512</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">822</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. G93-2, Class KB, 1/25/23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">740,148</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">800</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. W4, 2/25/29</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">587,955</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">118</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">First Union Residential Securitization Trust, Ser. A, Class 1APO, 3/25/15</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">110,440</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">700</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">MASTR Asset Securitization Trust, Ser. 3, Class 4A15, 3/25/34</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">381,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">55</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Structured Mortgage Asset Residential Trust, Ser. 3C, Class CX, 4/25/24</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">50,462</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">NR</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">13,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Resolution Funding Corp., Ser. B, 4/15/30</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,837,120</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Total Principal Only Mortgage-Backed Securities</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">54,907,599</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">30</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_65"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Income Trust Inc. (BKT) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="10%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="65%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="65%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
   <TD align="center" width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><B><FONT size=2 face="serif">Commercial Mortgage-Backed Securities&#151;2.8%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="3%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">10,250</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD><FONT size=1 face="serif">New York City Mortgage Loan Trust, Multi-Family, Class A2, 6.75%, 6/25/11</FONT></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">11,107,798</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aaa</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,420</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Banc of America Alternative Loan Trust, Ser. 11, Class 5A1, 5.50%, 1/25/19</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,427,989</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Total Commercial Mortgage-Backed Securities</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">12,535,787</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><B><FONT size=2 face="serif">Collateralized Mortgage Obligation Residuals&#151;8.5%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Collateralized Mortgage Obligation Trust,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">8</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 40, Class R, 4/01/18</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">827</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">138</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 42, Class R, 10/01/14</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">45</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">FBC Mortgage Securities Trust 16, CMO, Ser. A-1, 7/01/17</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">283,265</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">GSR Mortgage Loan Trust,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">6,766</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 10, Class 2A1, 10/25/33</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">6,638,921</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">6,588</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 13, Class 1A1, 10/25/33</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">6,527,012</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,218</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">MASTR Alternative Loan Trust, Ser. 7, Class 4A3, 11/25/18</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,556,435</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">154,786</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">MLCC Mortgage Investors Inc., Ser. A, Class XA, 3/25/28</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,933,794</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">Morgan Stanley Mortgage Trust,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">150</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 38, Class 2, 11/20/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">25,270</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">162</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 39, Class 2, 12/20/21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">27,380</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">14,344</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Residential Funding Securities Corp., Ser. RM2, Class AI5, 5/25/33</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">15,805,373</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Total Collateralized Mortgage Obligation Residuals</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">37,800,277</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><B><FONT size=2 face="serif">U.S. </FONT></B><B><FONT size=2 face="serif">Government and Agency Securities&#151;51.6%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">16,628</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Overseas Private Investment Corp., zero coupon&#151;7.35%, 5/29/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">17,148,576</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">Small Business Administration,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,380</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 20C-1, 7.15%, 3/01/17</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,497,757</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,097</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 20E-1, 7.60%, 5/01/16</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,288,612</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,784</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 20F, 7.55%, 6/01/16</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,037,569</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,698</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 20G, 7.70%, 7/01/16</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,859,194</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,236</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 20H-1, 7.25%, 8/01/16</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,427,131</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,703</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 20K-1, 6.95%, 11/01/16</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,994,944</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,881</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Small Business Investment Companies, Ser. P10A, Class 1, 6.12%, 2/01/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,988,046</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">64,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">U.S. Treasury Notes, 1.50%, 3/31/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">63,565,200</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">129,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD><FONT size=1 face="serif">U.S. Treasury Bonds, zero coupon, 11/15/24</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">40,519,674</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">U.S. Treasury Notes,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">32,330</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.25%, 8/15/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">32,130,459</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.875%, 2/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,885,391</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">36,750</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 2/15/14</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">35,308,665</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">17,950</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 11/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">17,613,438</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,250</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.375%, 8/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,256,598</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Total U.S. Government and Agency Securities</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">229,521,254</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><B><FONT size=1 face="serif">Total Long-Term Investments </FONT></B><FONT size=1 face="serif">(cost $671,621,710)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">655,026,371</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><B><FONT size=2 face="serif">SHORT-TERM INVESTMENTS&#151;23.4%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><B><FONT size=2 face="serif">U.S. </FONT></B><B><FONT size=2 face="serif">Government and Agency Securities&#151;23.4%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">8,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Federal Home Loan Bank, zero coupon, 5/03/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">7,999,622</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">U.S. Treasury Notes,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">36,429</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.625%, 5/03/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">36,428,750</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">24,996</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.625%, 5/03/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">24,995,600</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">30,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.50%, 5/03/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">30,000,000</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">4,522</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.25%, 5/06/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,521,563</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="65%"><B><FONT size=1 face="serif">Total Short-Term Investments </FONT></B><FONT size=1 face="serif">(cost $103,945,535)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">103,945,535</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><B><FONT size=1 face="serif">Total investments before investments sold short and outstanding options written </FONT></B><FONT size=1 face="serif">(cost $775,567,245)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">758,971,906</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><B><FONT size=2 face="serif">INVESTMENTS SOLD SHORT&#151;(21.6%)</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">(1,500</FONT></TD>
   <TD width="4%"><FONT size=1 face="serif">)</FONT></TD>
   <TD><FONT size=1 face="serif">Federal National Mortgage Assoc., 5.50%, 5/18/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(1,538,907</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">(97,580</FONT></TD>
   <TD width="4%"><FONT size=1 face="serif">)</FONT></TD>
   <TD><FONT size=1 face="serif">U.S. Treasury Notes, 1.50%-3.625%, 2/15/07-5/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(94,656,821</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><B><FONT size=1 face="serif">Total Investments Sold Short </FONT></B><FONT size=1 face="serif">(proceeds $</FONT><FONT size=1 face="serif">96,272,921)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(96,195,728</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">31</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_67"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Income Trust Inc. (BKT) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD align="right" colspan=3><div align="center"><B><FONT size=2 face="serif">Notional</FONT></B></div></TD>
   <TD width="75%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD align="right" colspan=3><div align="center"><B><FONT size=2 face="serif">Amount</FONT></B></div></TD>
   <TD width="75%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="75%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
   <TD align="center" width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD colspan=3><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
</TR>
<TR>
   <TD align="center" colspan=3>&nbsp;</TD>
   <TD align="center" width="75%"><div align="left"><B><FONT size=2 face="serif">Outstanding Options Written&#151;(0.8%)</FONT></B></div></TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD width="4%"><div align="right"><FONT size=1 face="serif">$</FONT></div></TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">19,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Interest Rate Swap, zero coupon over 3 month LIBOR, expires 12/05/05</FONT></TD>
   <TD align="center" width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(752,400</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">9,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Interest Rate Swap, 4.90% over 3-month LIBOR, expires 12/05/05</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(181,260</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">60,500</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Interest Rate Swap, 3.60% over 3-month LIBOR, expires 11/01/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(183,742</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">77,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Interest Rate Swap, 5.75% over 3-month LIBOR, expires 9/23/05</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(1,271,270</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">12,800</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Interest Rate Swap, 6.00% over 3-month LIBOR, expires 10/25/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(264,192</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">95</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">U.S. Treasury Bond Futures, expires 5/22/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(175,156</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">162</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">U.S. Treasury Bond Futures, expires 8/27/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(663,187</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD width="4%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><B><FONT size=1 face="serif">Total Outstanding Options Written </FONT></B><FONT size=1 face="serif">(premium received $</FONT><FONT size=1 face="serif">4,413,022)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(3,491,207</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD width="4%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="75%"><B><FONT size=1 face="serif">Total investments, net of investments sold short and outstanding options written&#151;148.3%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">659,284,971</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD width="4%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="75%"><FONT size=1 face="serif">Liabilities in excess of other assets&#151;(48.3)%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(214,765,666</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD width="4%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="75%"><B><FONT size=1 face="serif">Net Assets&#151;100%</FONT></B></TD>
   <TD align="center" width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">444,519,305</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<TABLE>
<tr>
   <td valign="top" colspan="2"><SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Using the higher of S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating.</FONT><BR><SUP><FONT size=1 face="serif">2</FONT></SUP>&nbsp;<FONT
size=1 face="serif">Entire or partial principal amount pledged as collateral for reverse repurchase agreements or financial futures contracts.</FONT><BR><SUP><FONT size=1 face="serif">3</FONT></SUP>&nbsp;<FONT size=1 face="serif">Security is not
registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2004, the Trust held 3.0% of its net assets, with a current
market value of $13,306,017, in securities restricted as to resale.</FONT><BR></td>
</tr>
</TABLE>
<P>
<FONT size=1 face="serif">Details of open reverse repurchase agreements are disclosed in Note 4 in the Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">32</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>
<A NAME="page_69"></A>

<P>
<B><FONT face="serif">PORTFOLIO OF INVESTMENTS (unaudited) <br>
APRIL 30, 2004</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock Limited Duration Income Trust (BLW)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="8%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="70%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="70%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="70%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">LONG-TERM INVESTMENTS&#151;149.8%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Corporate Bonds&#151;63.7%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Aero &amp; Defense&#151;2.2%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Raytheon, 7.00%, 5/15/06</FONT></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,234,320</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Sequa Corp., Ser. B, 8.875%, 4/01/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,525,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,885</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Transdigm, Inc., 8.375%, 7/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">6,223,387</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">15,982,707</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Automotive&#151;4.7%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Advanced Accesory Systems LLC, Ser. B, 10.75%, 6/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,250,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B2</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,750</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Collins &amp; Aikman Products Co., 10.75%, 12/31/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,846,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">7,500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">DaimlerChrysler NA Holding Corp., 4.05%, 6/04/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">7,357,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Dura Operating Corp.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. B, 8.625%, 4/15/12&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,135,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. D, 9.00%, 5/01/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">995,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Group 1 Automotive, Inc., 8.25%, 8/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,450,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Sonic Automotive, Inc., Ser. B, 8.625%, 8/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,771,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,640</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">TRW Automotive, Inc., 9.375%, 2/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,312,800</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">34,117,800</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Basic Material&#151;0.5%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,250</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">U.S. Steel Corp., 10.75%, 8/01/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,802,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Building &amp; Development&#151;0.4%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">250</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Collins &amp; Aikman Floorcovering, Ser. B, 9.75%, 2/15/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">263,750</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">DR Horton Inc., 5.875%, 7/01/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,947,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,211,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Chemical&#151;3.1%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,590</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Dow Chemical Co., 5.97%, 1/15/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,981,468</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Huntsman Advanced Materials LLC, 11.00%, 7/15/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,800,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Huntsman LLC, 11.625%, 10/15/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,300,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Lyondell Chemical Co., 11.125%, 7/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,562,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Rockwood Specialties Group Inc., 10.625%, 5/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,325,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">22,968,968</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Conglomerates&#151;0.5%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Trimas Corp., 9.875%, 6/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,285,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Consumer Products&#151;1.5%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">JC Penney Co. Inc., 8.00%, 3/01/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,675,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Rite Aid Corp., 8.125%, 5/01/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,400,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">11,075,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Containers &amp; Glass&#151;1.3%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Graphic Packaging Intl., Inc., 9.50%, 8/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,600,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Silgan Holdings Inc., 6.75%, 11/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,020,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">9,620,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Ecological Services &amp; Equipment&#151;2.3%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">7,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Allied Waste NA, Inc., Ser. B, 10.00%, 8/01/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">7,490,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Casella Waste Systems Inc., 9.75%, 2/01/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,220,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">6,250</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">National Waterworks Inc., Ser. B, 10.50%, 12/01/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">7,062,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">16,772,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Electronics&#151;1.6%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B1</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,243</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Amkor Technology Inc., 7.75%, 5/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,111,925</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Chippac Int. Ltd., Ser. B, 12.75%, 8/01/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,700,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ba2</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,972</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Flextronics Intl. Ltd., 6.50%, 5/15/13 (Singapore)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,991,860</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">11,803,785</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">33</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_71"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Limited Duration Income Trust (BLW) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="9%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="51%">&nbsp;</TD>
   <TD align="center" width="15%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="51%">&nbsp;</TD>
   <TD align="center" width="15%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="51%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" width="15%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><B><FONT size=2 face="serif">Energy&#151;9.0%</FONT></B></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="3%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="51%"><FONT size=1 face="serif">AES Corp., The, 8.75%, 5/15/13</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,995,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,290</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Chesapeake Energy Corp., 7.50%, 9/15/13</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,686,750</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD colspan="2"><FONT size=1 face="serif">Compagnie Generale de Geophysique SA, 10.625%, 11/15/07 </FONT><FONT size=1 face="serif">(France)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,155,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Dresser, Inc., 9.375%, 4/15/11</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,400,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">6,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="51%"><FONT size=1 face="serif">Dynegy Holdings Inc., 10.125%, 7/15/13</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">6,600,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">El Paso Production Holding Co., 7.75%, 6/01/13</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">3,800,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,160</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="51%"><FONT size=1 face="serif">Gazprom, 9.625%, 3/01/13 (Russia)</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,219,400</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,950</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Hanover Equipment Trust, Ser. B, 8.75%, 9/01/11</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">3,156,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="51%"><FONT size=1 face="serif">Hilcorp Energy I LP, 10.50%, 9/01/10</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,512,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Massey Energy Corp., 6.95%, 3/01/07</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,045,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;
    <div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Midwest Generation LLC, Ser. A, 8.30%, 7/02/09</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,150,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Swift Energy Co., 9.375%, 5/01/12</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,500,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ba3</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Westport Resources Corp., 8.25%, 11/01/11</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,612,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Williams Cos, Inc.,</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;zero coupon, 3/15/12</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,085,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.625%, 6/01/10</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,500,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%">&nbsp;</TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">65,417,650</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><B><FONT size=2 face="serif">Farming &amp; Agriculture&#151;0.3%</FONT></B></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B2</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="51%"><FONT size=1 face="serif">Gold Kist, Inc., 10.25%, 3/15/14</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,100,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><B><FONT size=2 face="serif">Finance &amp; Banking&#151;9.4%</FONT></B></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Crum &amp; Forster Holdings Corp., 10.375%, 6/15/13</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">3,315,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">7,500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="51%"><FONT size=1 face="serif">Ford Motor Credit Co., 7.375%, 2/01/11</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">8,019,945</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC+</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="51%"><FONT size=1 face="serif">Gemstone Investor Ltd., 7.71%, 10/31/04</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">3,022,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">7,500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="51%"><FONT size=1 face="serif">General Motors Acceptance Corp., 6.875%, 8/28/12</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">7,794,900</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">JP Morgan HYDIB,</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ba3</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">10,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2,3</FONT></SUP></TD>
   <TD width="51%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.40%, 6/20/08</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">10,087,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B3</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">9,815</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2,3</FONT></SUP></TD>
   <TD width="51%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.00%, 6/20/08</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">10,317,824</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Baa2</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="51%"><FONT size=1 face="serif">Kazkommerts Intl. BV, 10.125%, 5/08/07 (Netherlands)</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,350,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ba2</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,974</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Labranche &amp; Co., Inc., 12.00%, 3/02/07</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,319,450</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B1</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="51%"><FONT size=1 face="serif">Sheridan Acquisition Corp., 10.25%, 8/15/11</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">4,820,625</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Southern Star Central Corp., 8.50%, 8/01/10</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,500,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,215</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="51%"><FONT size=1 face="serif">Western Financial Bank, 9.625%, 5/15/12</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">4,773,488</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B2</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,670</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="51%"><FONT size=1 face="serif">WMC Finance Co., 11.75%, 12/15/08</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">3,284,100</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%">&nbsp;</TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">68,605,332</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><B><FONT size=2 face="serif">Forest Products&#151;2.5%</FONT></B></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Caraustar Industries, Inc., 9.875%, 4/01/11</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">4,080,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,685</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Georgia Pacific Corp., 8.875%, 2/01/10</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">6,566,175</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">7,500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="51%"><FONT size=1 face="serif">Weyerhaeuser Co., 5.25%, 12/15/09</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">7,719,060</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%">&nbsp;</TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">18,365,235</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><B><FONT size=2 face="serif">Health Care&#151;4.3%</FONT></B></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Alaris Med Systems Inc., 7.25%, 7/01/11</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">4,140,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Amerisourcebergen Corp., 8.125%, 9/01/08</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,525,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Bio Rad Laboratories Inc., 7.50%, 8/15/13</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,096,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="51%"><FONT size=1 face="serif">Concentra Operating Corp., 9.50%, 8/15/10</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,550,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Iasis Healthcare Corp., 8.50%, 10/15/09</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">3,718,750</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Insight Health Services Corp., Ser. B, 9.875%, 11/01/11</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">3,030,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Norcross Safety Products LLC, 9.875%, 8/15/11</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">3,210,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">United Surgical Partners Intl., Inc., 10.00%, 12/15/11</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,107,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%">&nbsp;</TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">31,377,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><B><FONT size=2 face="serif">Hotels &amp; Casinos&#151;2.5%</FONT></B></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Ameristar Casinos Inc., 10.75%, 2/15/09</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">4,060,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,125</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Boyd Gaming Corp., 7.75%, 12/15/12</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">4,351,875</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Hammons John Q. Hotels LP, Ser. B, 8.875%, 5/15/12</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,205,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">Herbst Gaming, Inc., Ser. B, 10.75%, 9/01/08</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,127,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ba2</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,425</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%"><FONT size=1 face="serif">MGM Mirage, Inc., 9.75%, 6/01/07</FONT></TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">6,130,250</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="51%">&nbsp;</TD>
   <TD width="15%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">17,874,625</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">34</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_73"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Limited Duration Income Trust (BLW) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="9%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="68%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="68%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="68%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Industrial Equipment&#151;0.4%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Williams Scotsman, Inc., 9.875%, 6/01/07</FONT></TD>
   <TD align="center" width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,985,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Industrials&#151;3.4%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">Fasten Tech Inc., 11.50%, 5/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">4,440,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,025</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Hexcel Corp., 9.875%, 10/01/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,590,312</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Mail-Well I Corp., 9.625%, 3/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,500,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">7,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Tyco Intl. Group SA, 6.125%, 11/01/08 (Luxembourg)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">7,912,425</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Von Hoffman Corp., 10.25%, 3/15/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,040,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">24,482,737</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Leisure&#151;0.5%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Royal Caribbean Cruises Ltd., 8.00%, 5/15/10 (Liberia)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">3,867,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Media&#151;5.9%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B1</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Alliance Atlantis Communications, Inc., 13.00%, 12/15/09 (Canada)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,787,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">6,685</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">Comcast Cable Communications, Inc., 6.875%, 6/15/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">7,359,416</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">6,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">CSC Holdings Inc., 7.875%, 12/15/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">6,405,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Dex Media East LLC, Ser. B, 12.125%, 11/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,320,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Echostar DBS Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.36%, 7/01/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">4,680,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.75%, 10/01/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,005,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Houghton Mifflin Company, 9.875%, 2/01/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">4,925,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,250</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Nextmedia Operating, Inc., 10.75%, 7/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">3,664,375</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">Paxson Communications Corp., 3.89%, 4/15/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,525,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,650</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Salem Communications Corp., 7.75%, 12/15/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">4,882,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,375</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">WRC Media, Inc., 12.75%, 11/15/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,375,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">42,928,791</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Pharmaceuticals&#151;0.2%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,750</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">Curative Hlth. Svcs. Inc., 10.75%, 5/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,756,563</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Publishing&#151;0.5%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">CBD Media Inc., 8.625%, 6/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">3,736,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Real Estate&#151;0.4%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ba3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,671</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">HMH Properties, Inc., Ser. B, 7.875%, 8/01/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,771,162</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Steel&#151;0.8%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>

   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Ipsco, Inc., 8.75%, 6/01/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,625,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Technology&#151;0.5%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Unisys Corp., 6.875%, 3/15/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">3,710,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Telecommunication&#151;3.7%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">6,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">ACC Escrow Corp., Ser. B, 10.00%, 8/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,790,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">Deutsche Telekom Intl. Finance BV, 8.50%, 6/15/10 (Netherlands)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,907,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">Nextel Communications, Inc., 7.375%, 8/01/15</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,225,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">Qwest Communications Intl., Inc., 4.63%, 2/15/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">3,720,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ba3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">6,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2,3</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">Qwest Corp., 9.125%, 3/15/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">6,480,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">27,122,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Transportation&#151;1.3%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,650</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Overseas Shipholding Group Inc., 8.75%, 12/01/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,860,375</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,720</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Railamerica Transportation Corp., 12.875%, 8/15/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">4,315,200</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,015</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Sea Containers Ltd., 10.50%, 5/15/12 (Bermuda)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,984,850</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">9,160,425</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Total Corporate Bonds</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">464,525,780</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Mortgage Pass-Throughs&#151;24.1%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Federal National Mortgage Assoc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">9,597</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.347%, 12/01/33</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">9,659,944</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">6,956</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.44%, 1/01/34</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">7,076,116</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">121,700</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 12/01/99</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">122,384,562</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">16,993</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 12/01/27 - 11/01/33</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">16,969,146</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">17,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.25%, 1/15/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">19,570,400</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Total Mortgage Pass-Throughs</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">175,660,168</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">35</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<P>
<B><FONT size=2 face="serif">BlackRock Limited Duration Income Trust (BLW) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="7%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="71%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="71%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="71%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Interest Only Asset-Backed Securities&#151;1.0%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">78,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Sterling Coofs Trust, 4/15/29</FONT></TD>
   <TD align="center" width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">6,971,250</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Interest Only Mortgage-Backed Securities&#151;0.6%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">18,133</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Federal National Mortgage Assoc., Ser. 64, Class QI, 1/25/33</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">4,075,615</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Asset-Backed Securities&#151;1.9%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">6,900</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="71%"><FONT size=1 face="serif">DaimlerChrysler Auto Trust, Ser. 2003B, Class A3, 2.25%, 8/08/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">6,897,573</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">7,125</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Honda Auto Receivables, Asset Bkd Note Class A3, 2.30%, 10/18/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">7,117,658</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Total Asset-Backed Securities</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">14,015,231</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Collateralized Mortgage Obligation Residuals&#151;2.6%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">GSR Mortgage Loan Trust,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">9,666</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 10, Class 2A1, 4.502%, 10/25/33&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">9,484,174</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">9,618</FONT></TD>
   <TD width="3%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ser. 13, Class 1A1, 4.528%, 10/25/33</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">9,528,485</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Total Collateralized Mortgage Obligation Residuals</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">19,012,659</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Bank Loans&#151;41.9%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Advertising&#151;0.1%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Adams Outdoor Advertising, LP, Term Loan, LIBOR + 3.40%, 10/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">506,250</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Aero &amp; Defense&#151;0.2%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,488</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Transdigm, Inc., Term Loan, LIBOR + 3.34%, 4/12/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,500,516</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Automotive&#151;2.2%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">CSK Auto, Inc., Term Loan B, LIBOR + 3.39%, 6/18/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">505,312</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,866</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">EaglePicher Industries, Term Loan B, LIBOR + 4.11%, 5/28/04 - 6/10/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,882,185</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Exide Technologies,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,375</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Euro A/R Term Loan, LIBOR + 4.83%, 5/30/05</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,375,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan, LIBOR + 4.83%, 5/30/05</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">4,000,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,318</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Metaldyne Co. LLC, Term Loan D, LIBOR + 5.375, 12/31/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,317,868</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Tenneco Automotive, Inc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">447</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan B, LIBOR + 4.36%, 11/30/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">455,167</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,002</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan B1, LIBOR + 4.346%, 11/30/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,019,672</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,783</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">TRW Automotive Acquisitions Corp., Term Loan D1, LIBOR + 3.4375%, 2/28/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,821,368</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Williams Scotsman, Inc., Term Loan,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,038</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.1875%, 5/03/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,039,954</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">446</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.1875%, 6/07/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">446,998</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">401</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.125%, 5/05/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">401,386</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">8</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 5.75%, 6/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">8,188</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">16,273,098</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Basic Material&#151;0.1%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Metakote Corp., Term Loan,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">56</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 6.86%, 6/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">56,111</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">444</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 6.92%, 8/19/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">448,889</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">505,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Building &amp; Development&#151;0.7%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Associated Materials, Inc., Term Loan,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">53</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.86%, 6/14/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">53,070</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">947</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.99%, 6/10/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">955,263</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">474</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.03%, 6/08/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">477,631</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Builders Firstsource, Inc., Term Loan,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.38%, 6/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,525</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.53%, 9/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,525</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">995</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.59%, 10/29/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,004,950</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">850</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Goodman Global Holdings, Inc., Term Loan B, LIBOR + 3.25%, 11/30/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">861,688</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Landsource Communities Development, LLC, Term Loan B, LIBOR + 3.6875%, 3/31/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,015,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Ply Gem Industries,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">75</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CND Term Loan, LIBOR + 3.61%, 3/15/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">75,094</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">425</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan, LIBOR + 3.61%, 10/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">425,531</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">4,873,277</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">36</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_77"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Limited Duration Income Trust (BLW) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="8%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="71%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="71%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="71%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=3><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Business Equipment &amp; Services&#151;0.8%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Alderwoods Group, Inc., Term Loan B,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">682</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.86%, 6/28/04</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">690,767</FONT></TD>
  </TR>

<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">704</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.87%, 5/27/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">712,978</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">727</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.10%, 10/28/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">736,818</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">54</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 5.75%, 6/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">54,710</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,244</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Buhrmann U.S., Inc., Term Loan B1, LIBOR + 3.86%, 11/01/07 - 12/30/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,275,235</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Worldspan, LP, Term Loan,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">456</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.875%, 5/07/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">456,570</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">276</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.875%, 5/10/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">276,345</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">300</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.875%, 5/13/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">300,375</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,503,798</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Chemical&#151;1.1%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Huntsman Intl. LLC,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan B,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">679</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 5.1875%, 5/24/04 - 6/08/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">688,828</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">571</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 5.25%, 6/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">578,360</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan C,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,250</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 5.4375%, 5/19/04 - 5/24/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,244,010</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">INEOS Group Holdings PLC, Term Loan C, (United Kingdom)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">5</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.6113%, 6/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,450</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">931</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.6613%, 9/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">940,512</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">997</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Kraton Polymers, Term Loan, LIBOR + 3.75%, 12/15/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,011,350</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Nalco Chemical Co., Term Loan,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">95</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.60%, 5/28/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">95,338</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,794</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.63%, 6/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,815,382</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">993</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">USI Holdings Corp., Term Loan B, LIBOR + 3.67%, 7/30/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,003,666</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">8,382,896</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Clothing &amp; Textiles&#151;0.5%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Invista, Term Loan B, LIBOR + 4.10%, 4/30/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,028,332</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Conglomerates&#151;2.4%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Colfax Corp.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,775</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan B, LIBOR + 4.875%, 6/30/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,815,109</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,250</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan C, LIBOR + 7.375%, 6/30/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,262,500</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Invesys Intl. Holdings Ltd.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">4,250</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan, LIBOR + 5.86%, 11/30/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,281,875</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan B1, LIBOR + 4.61%, 8/30/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,005,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Precise Technology, Inc., Term Loan,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">750</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.125%, 3/31/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">756,563</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 7.125%, 3/31/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,000,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,488</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Quintiles Transnational Corp., Term Loan, LIBOR + 5.36%, 9/25/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>

   <TD align="right" width="9%"><FONT size=1 face="serif">2,527,922</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,990</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Trimas Corp., Term Loan B, LIBOR + 4.60%, 12/31/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,997,176</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">17,646,145</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Consumer Products&#151;4.3%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">500</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Buffets, Inc., Synth LC, LIBOR + 4.61%, 6/28/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">500,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">860</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Dean Foods Co., Term Loan B, LIBOR + 3.11%, 8/15/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">871,215</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Dole Food Co., Inc., Term Loan C,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">970</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.6875%, 5/28/04 - 7/02/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">983,576</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">546</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 5.50%, 6/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">553,613</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Dr. Pepper Bottling Company of Texas, Term Loan B,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">57</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.61%, 6/24/04 - 6/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">57,652</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,339</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.65%, 9/22/04 - 9/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,395,004</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,489</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">DS Waters Enterprises LP, Term Loan, LIBOR + 3.9375%, 11/30/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,485,494</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,990</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Jarden Corp., Term Loan B, LIBOR + 3.86%, 4/30/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,004,095</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,843</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Jostens, Inc., Term Loan B, LIBOR + 3.72%, 7/08/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,865,363</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Meow Mix Company, Term Loan,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">270</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.61%, 6/28/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">267,412</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,705</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.73%, 6/28/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,685,369</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Olympus Cable Holdings, LLC,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan A, LIBOR + 5.25%, 6/30/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,937,142</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,500</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan B, PRIME + 6.00%, 9/30/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,410,001</FONT></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">37</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_79"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Limited Duration Income Trust (BLW) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="6%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="71%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="71%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="71%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=3><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Consumer Products&#151;(cont&#146;d)</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,888</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Oriental Trading Co., Inc., Term Loan B, LIBOR + 3.875%, 6/01/04 - 6/30/04</FONT></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,898,431</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Pantry, Inc., The, Term Loan, LIBOR + 3.85%, 2/18/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,025,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Prestige Brands Holdings, Inc., Term Loan B,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,492</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.075%, 10/26/04&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,502,736</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">8</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 5.75%, 6/30/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">8,514</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,499</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Scotts Co., The, Term Loan, LIBOR + 3.125%, 5/21/04 - 7/21/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,518,402</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,226</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Tempur Pedic, Term Loan B, LIBOR + 4.61%, 8/13/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,245,785</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">31,214,804</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Containers &amp; Glass&#151;3.5%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">5,700</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Crown Cork &amp; Seal Co., Inc., Term Loan B1, LIBOR + 4.10%, 9/30/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,792,625</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,980</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Graphic Packaging Intl., Inc., Term Loan B, LIBOR + 3.86%, 6/30/04 - 7/01/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,035,553</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Owens-Brockway Glass Container, Inc., Term Loan A,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">8,500</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.92%, 6/30/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">8,523,018</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.10%, 3/15/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,002,500</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,970</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Silgan Holdings, Inc., Term Loan B, LIBOR + 3.39%, 11/30/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,010,761</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">500</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Sola International, Inc., Term Loan, LIBOR + 3.65%, 11/30/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">506,875</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Solo Cup, Inc., Term Loan,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">5</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.60%, 5/27/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,079</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,995</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.61%, 6/30/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,026,671</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">25,903,082</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Ecological Services &amp; Equipment&#151;0.8%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Allied Waste NA, Inc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan A, LIBOR + 3.86%, 1/15/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,014,063</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan C, LIBOR + 3.86%, 6/15/04 - 6/22/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,060,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Envirosolutions, Term Loan, LIBOR + 5.12%, 2/28/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">998,750</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">6,072,813</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Electronics&#151;0.5%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,307</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Knowles Electronics, Inc., Term Loan B2, LIBOR + 6.1875, 6/29/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,309,784</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">500</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">SGL Carbon LLC, Term Loan, LIBOR + 4.22%, 6/30/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">498,750</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,808,534</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Energy&#151;2.9%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">429</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">AES Corp., The, Term Loan, LIBOR + 5.32%, 4/30/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">433,862</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,985</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Calpine Corp., Term Loan, LIBOR + 6.89%, 7/15/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,866,893</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">6,962</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Centerpoint Energy, Inc., Term Loan, LIBOR + 4.72%, 10/30/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">7,103,585</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">5,500</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Mission Energy Holdings Co., Term Loan, LIBOR + 7.00%, 9/01/04 - 9/10/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,536,096</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">579</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">NRG Energy, Inc., Term Loan, LIBOR + 5.50%, 5/08/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">595,321</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Reliant Resources, Inc., Term Loan,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">972</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 5.2275%, 7/07/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">953,813</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">4,813</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 5.35%, 10/07/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,721,649</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">21,211,219</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Entertainment&#151;0.5%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">MGM, Inc., Term Loan, LIBOR + 3.60%, 4/30/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,010,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Equipment Leasing&#151;0.3%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">United Rentals NA, Inc., Term Loan B,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">672</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.38%, 5/18/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">679,617</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">672</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.44%, 8/19/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">679,617</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">489</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.35%, 5/28/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">494,266</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,853,500</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Finance &amp; Banking&#151;1.2%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">BCP Luxemburg Holdings,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,375</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan B, LIBOR + 9.125%, 4/19/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,366,562</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,125</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan C, LIBOR + 11.125%, 2/19/05</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,122,188</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Global Cash Access, LLC, Term Loan, LIBOR + 3.85%, 3/15/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,027,500</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">SBA Senior Finance, Inc., Term Loan, LIBOR + 4.65%, 10/31/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,011,250</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">8,527,500</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Food Products&#151;0.4%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Michael Foods, Inc., Term Loan,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">242</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.60%, 5/26/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">245,833</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">23</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.62%, 5/21/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">23,124</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">212</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.73%, 5/20/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">215,104</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,515</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.96375%, 11/22/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,550,523</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,034,584</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">38</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_81"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Limited Duration Income Trust (BLW) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="8%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="68%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="68%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="68%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=3><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Forest Products&#151;1.7%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">MDCP Acquisitions</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Tranche C3, LIBOR + 4.39%, 7/08/04</FONT></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">4,020,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Tranche B3, LIBOR + 3.89%, 7/08/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">4,027,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,496</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">RLC Industries Co., Term Loan, LIBOR +3.13%, 1/26/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,511,212</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">SP Newsprint Co.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">883</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan, LIBOR + 4.10%, 1/08/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">892,569</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,611</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan B, LIBOR + 1.10%, 1/09/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,629,236</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">12,080,017</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Health Care&#151;3.2%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">229</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Ameripath, Inc., Term Loan C, LIBOR + 4.10%, 3/20/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">229,209</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Atrium Companies, Inc., Term Loan,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">11</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.86%, 6/30/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">10,764</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">738</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.89%, 7/15/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">747,180</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Colgate Medical, Ltd., Term Loan B,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">682</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.85%, 5/28/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">689,489</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">781</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.86%, 6/30/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">789,464</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,970</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Community Health Systems, Inc., Term Loan B, LIBOR + 3.62%, 6/16/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">4,019,395</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Concentra Operating Corp., Term Loan,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">963</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.88%, 5/10/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">975,409</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,015</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.97%, 8/09/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">2,041,790</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Connecticare, Inc., Term Loan,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,350</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.86%, 6/30/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,363,500</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">375</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.88%, 6/30/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">378,750</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,050</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 5.24875%, 10/29/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,060,500</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Davita, Inc., Term Loan B,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">8</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.11%, 6/30/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">8,161</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">389</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.12%, 5/21/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">392,751</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">389</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.14%, 7/15/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">392,751</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,306</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.16%, 6/30/04 - 9/30/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,319,407</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">230</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.17%, 7/30/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">232,741</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">653</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.2125%, 6/30/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">659,704</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">494</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">DJ Orthopedics LLC, Term Loan, LIBOR + 3.875%, 4/30/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">499,922</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,078</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Empi Corp., Term Loan, LIBOR + 4.24%, 11/30/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">2,095,010</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,109</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Fisher Scientific Intl., Inc., Term Loan C, LIBOR + 3.11%, 2/28/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,115,874</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,672</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Kinetic Concepts, Inc., Term Loan B1, LIBOR + 3.36%, 8/05/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">2,699,225</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,900</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Per-Se Technologies, Inc., Term Loan B, LIBOR + 5.36%, 8/30/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,914,250</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">23,635,246</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Home Furnishing&#151;0.1%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Sealy Mattress Co., Term Loan, LIBOR + 3.86%, zero coupon, 3/31/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,012,500</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Hotels &amp; Casinos&#151;1.1%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Greektown Casino, LLC, Term Loan D,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">829</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.59%, 5/04/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">828,213</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,141</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.63125%, 5/04/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">2,166,933</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">499</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Green Valley Ranch Gaming, LLC, Term Loan B, LIBOR + 3.86%, 12/01/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">506,231</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Marina District Finance Co., Inc., Term Loan A,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">128</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.10%, 5/17/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">129,692</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">235</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.16%, 9/30/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">237,189</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,510</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.17%, 7/30/04 - 8/31/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,525,421</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">486</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.22%, 6/30/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">491,169</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">459</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.24%, 5/28/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">463,185</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,376</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Wyndham Intl., Inc., Term Loan, LIBOR + 6.875%, 6/30/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">1,347,897</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">7,695,930</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><B><FONT size=2 face="serif">Industrial Equipment&#151;0.3%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">Enersys, Inc., Term Loan,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">395</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.59%, 8/05/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">400,165</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">395</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.60%, 5/24/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">400,164</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">658</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.61%, 7/06/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">666,941</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">395</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.62%, 8/05/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">400,164</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">658</FONT></TD>
   <TD align="right" width="5%">&nbsp;</TD>
   <TD width="68%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.66%, 10/05/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">666,941</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="68%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="10%"><FONT size=1 face="serif">2,534,375</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">39</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_83"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Limited Duration Income Trust (BLW) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="7%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="71%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="71%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="71%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=3><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Industrials&#151;1.2%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Arinc, Inc., Term Loan B, LIBOR + 3.36%, 2/15/11</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,012,500</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Ionics, Inc., Term Loan, LIBOR + 3.87%, 2/12/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,011,250</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">New Flyer, Inc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">476</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan, LIBOR + 3.84%, 2/27/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">483,333</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,524</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan B, LIBOR + 3.85%, 2/27/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,542,857</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Roper Industries, Inc., Term Loan,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,125</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.11%, 6/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,151,067</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">838</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.17%, 7/28/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">848,464</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Sensus Metering Systems, Inc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan B1,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.13%, 6/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">3,280</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">652</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.17%, 7/20/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">655,978</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">645</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.17%, 8/20/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">649,418</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan B2,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.17%, 6/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">492</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">98</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.17%, 7/20/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">98,397</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">97</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.17%, 8/20/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">97,413</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">8,554,449</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Leisure&#151;0.3%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,995</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Fitness Holdings </FONT><FONT size=1 face="serif">Worldwide, Inc., Term Loan B, LIBOR + 4.75%, 6/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,017,444</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Media&#151;5.9%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Cinram International, Inc.,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,932</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan B, LIBOR + 4.84%, 10/30/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">5,977,899</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan C, LIBOR + 6.84%, 4/30/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,481,416</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Dex Media East, LLC, Term Loan A,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,907</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.35%, 5/12/04 - 5/28/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,932,020</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">480</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.38%, 5/10/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">485,966</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">240</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.48%, 6/15/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">242,983</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Dex Media West, LLC,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan A,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">734</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.60%, 5/06/04 - 5/28/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">743,390</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">651</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.61%, 6/11/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">660,045</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">310</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.63%, 5/12/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">314,563</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">282</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.64%, 5/06/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">285,526</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">127</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.74%, 6/11/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">129,051</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Term Loan B,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,803</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.85%, 5/06/04 - 5/28/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,830,933</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,447</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.86%, 6/11/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,468,976</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">708</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.88%, 5/12/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">719,211</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">375</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.89%, 5/06/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">380,759</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">257</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.99%, 6/11/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">260,891</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">DirecTV Holdings, LLC, Term Loan B2,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,880</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.35%, 5/17/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,908,566</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,837</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.45%, 5/09/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,864,745</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Insight Midwest Holdings LLC, Term Loan,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">15</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.875%, 6/04/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">15,100</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">5,970</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.9375%, 6/04/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">6,009,551</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Lions Gate Entertainment, Inc., Term Loan, LIBOR + 4.36%, 12/31/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,010,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,935</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Loews Cineplex Entertainment Corp., LIBOR + 4.625%, 2/29/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,937,224</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">4,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">MCC Iowa LLC, Term Loan </FONT><FONT size=1 face="serif">B, LIBOR + 3.62%, 9/30/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">4,050,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,995</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">MediaNews Group, Inc., Term B, LIBOR + 3.10%, 12/30/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,015,782</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,985</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Rainbow Media Group, Term Loan C, LIBOR + 3.38%, 3/30/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">3,005,884</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Warner Music Group, Term Loan B,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.025%, 10/22/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">506,500</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.85%, 5/24/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">1,519,500</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">42,756,481</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%"><B><FONT size=2 face="serif">Oil &amp; Gas Services&#151;0.4%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Gulfterra Energy Partners, LP, Term Loan, LIBOR + 3.36%, 11/30/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,015,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">776</FONT></TD>
   <TD align="right" width="4%">&nbsp;</TD>
   <TD width="71%"><FONT size=1 face="serif">Veritas DGC, Inc., Term Loan B, LIBOR + 6.130%, 2/14/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">782,066</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="71%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=1 face="serif">2,797,066</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">40</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_85"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Limited Duration Income Trust (BLW) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="10%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="67%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="67%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=2 face="serif">Publishing&#151;0.3%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Readers Digest Assoc., Inc., Term Loan B,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">244</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.1875%, 6/22/04 - 8/20/04</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">246,159</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">197</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 4.25%, 5/20/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">198,080</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,708</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Relizon Company The, Term Loan, LIBOR + 4.12%, 2/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,713,903</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,158,142</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=2 face="serif">Real Estate&#151;0.3%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Crescent Real Estate Equities LP, Term Loan,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">364</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.34%, 5/04/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">367,273</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,636</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.35%, 5/14/04 - 5/18/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,652,727</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,020,000</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=2 face="serif">Restaurants&#151;0.3%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Caribbean Resturants, Term Loan, LIBOR + 4.10%, 4/07/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,018,750</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=2 face="serif">Retailers&#151;0.7%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,069</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Alimentation Couche-Tard, Inc., Term Loan, LIBOR + 3.375%, 6/15/04 - 6/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,080,774</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">R.H. Donnelley, Inc., Term Loan B2,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,649</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.36%, 6/15/04 - 6/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,671,540</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,564</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.37%, 6/08/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,585,438</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">626</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.39%, 7/09/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">634,063</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,971,815</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><B><FONT size=2 face="serif">Telecommunication&#151;3.3%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Atlantic Broadband Finance LLC, Term Loan B, LIBOR + 4.37%, 1/30/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,011,250</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Centennial Cellular Operating Co., Term Loan B,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">83</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.85%, 5/28/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">83,363</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">917</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.91%, 9/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">916,994</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Charter Communications Operating LLC, Term Loan, LIBOR + 4.42%, 7/29/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,486,389</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Consolidated Communications, Inc., Term Loan B1, LIBOR + 3.85%, 4/07/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,513,125</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">4,478</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Crown Castle Operating Co., Term Loan B, LIBOR + 4.61%, 4/30/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,545,222</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">3,990</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Nextel Finance Co., Term Loan E, LIBOR + 3.375%, 12/15/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">4,030,969</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">836</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">PanAmSat Corp., Term Loan B1, LIBOR + 3.60%, 10/29/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">836,662</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Qwest Corp., Term Loan A, LIBOR + 6.50%, 6/30/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,196,430</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Valor Telecommunication Enterprises II, LLC, Term Loan A,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,193</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.63%, 5/10/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,193,781</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">581</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.60%, 5/28/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">581,549</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Western Wireless Corp., Term Loan A,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">161</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.13%, 6/14/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">159,734</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">484</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.13%, 5/28/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">481,954</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">321</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBOR + 3.19%, 7/30/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">319,469</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">24,356,891</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><B><FONT size=2 face="serif">Transportation&#151;0.3%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,953</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Sirva Worldwide, Inc., Term Loan, LIBOR + 3.59%, 11/30/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,963,926</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Total Bank Loans</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">305,428,380</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><B><FONT size=2 face="serif">Foreign Government Bonds&#151;2.5%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Columbia Republic, 9.75%, 4/23/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,425,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="67%"><FONT size=1 face="serif">Peru Republic, 9.125%, 2/21/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,250,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B2</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">1,905</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Republic of Venezuela, 2.125%, 6/18/04</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,780,895</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">5,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">Turkey Republic, 11.375%, 11/27/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">5,675,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Total Foreign Government Bonds</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">18,130,895</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><B><FONT size=2 face="serif">U.S. </FONT></B><B><FONT size=2 face="serif">Government Securities&#151;11.5%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">U.S. Treasury Notes,</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">30,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.625%, 10/31/05</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">29,845,200</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">46,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.375%, 12/15/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">45,690,880</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="6%"><FONT size=1 face="serif">8,660</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="67%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 11/15/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">8,497,625</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="67%"><FONT size=1 face="serif">Total U.S. Government Securities</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">84,033,705</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD><B><FONT size=1 face="serif">Total Long-Term Investments </FONT></B><FONT size=1 face="serif">(cost $</FONT><FONT size=1 face="serif">1,068,063,037)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif">1,091,853,683</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><hr noshade size=1></TD>
</TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">41</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_87"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Limited Duration Income Trust (BLW) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD align="right" colspan=3><div align="center"><B><FONT size=2 face="serif">Principal</FONT></B></div></TD>
   <TD width="79%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD align="right" colspan=3><div align="center"><B><FONT size=2 face="serif">Amount</FONT></B></div></TD>
   <TD width="79%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="79%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
   <TD align="center" width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD colspan=3><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
</TR>
<TR>
   <TD align="center" colspan=3>&nbsp;</TD>
   <TD align="center" width="79%"><div align="left"><B><FONT size=2 face="serif">SHORT-TERM INVESTMENT&#151;0.0%</FONT></B></div></TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD align="center" colspan=3>&nbsp;</TD>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">U.S. Government and Agency Security&#151;0.0%</FONT></B></div>     </TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD width="3%"><FONT size=1 face="serif">$</FONT></TD>
   <TD width="5%"><div align="right"><FONT size=1 face="serif">200</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD><FONT size=1 face="serif">U.S. Treasury Bills, zero coupon, 5/13/04 (cost $</FONT><FONT size=1 face="serif">199,943</FONT><FONT size=1 face="serif">)</FONT></TD>
   <TD align="center" width="2%"><div align="left"><FONT size=1 face="serif">$</FONT></div></TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">199,943</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD><B><FONT size=1 face="serif">Total investments&#151;149.8% </FONT></B><FONT size=1 face="serif">(cost $</FONT><FONT size=1 face="serif">1,068,262,980</FONT><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif">1,092,053,626</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="79%"><FONT size=1 face="serif">Liabilities in excess of other assets&#151;(49.8)%</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">(362,972,928</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD width="3%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="79%"><B><FONT size=1 face="serif">Net Assets&#151;100%</FONT></B></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=1 face="serif">729,080,698</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<TABLE>
<tr>
   <td valign="top" colspan="2"><SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Using the higher of S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating.</FONT><BR><SUP><FONT size=1 face="serif">2</FONT></SUP>&nbsp;<FONT
size=1 face="serif">Entire or partial principal amount pledged as collateral for reverse repurchase agreements or financial futures contracts.</FONT><BR><SUP><FONT size=1 face="serif">3</FONT></SUP>&nbsp;<FONT size=1 face="serif">Security is not
registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2004, the Trust held 11.3% of its net assets, with a current
market value of $82,203,512, in securities restricted as to resale.</FONT><BR></td>
</tr>
</TABLE>
<P>
<FONT size=1 face="serif">Details of open reverse repurchase agreements are disclosed in Note 4 in the Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">42</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_89"></A>

<P>
<B><FONT face="serif">PORTFOLIO OF INVESTMENTS (unaudited) <br>
APRIL 30, 2004</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock Strategic Bond Trust (BHD)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="8%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="69%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="69%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="69%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">LONG-TERM INVESTMENTS&#151;126.9%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="12%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Corporate Bonds&#151;123.7%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="12%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Aero &amp; Defense&#151;4.6%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="12%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">BE Aerospace, Inc., 9.50%, 11/01/08</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">2,010,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Lockheed Martin Corp., 8.20%, 12/01/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,183,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">650</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Raytheon Co., 4.85%, 1/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">642,583</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="69%"><FONT size=1 face="serif">United Technologies Corp., 6.35%, 3/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,095,320</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">4,931,153</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Automotive&#151;12.5%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="12%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="69%"><FONT size=1 face="serif">Autonation, Inc., 9.00%, 8/01/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">2,270,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B2</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Collins &amp; Aikman Products Co., 10.75%, 12/31/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">2,070,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="69%"><FONT size=1 face="serif">DaimlerChrysler NA Holding Corp., 7.30%, 1/15/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,095,220</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Dana Corp., 10.125%, 3/15/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">2,290,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Delco Remy Intl., Inc., 11.00%, 5/01/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,057,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Dura Operating Corp., Ser. D, 9.00%, 5/01/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,990,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,400</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Sonic Automotive, Inc., Ser. B, 8.625%, 8/15/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,508,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">892</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">TRW Automotive, Inc., 9.375%, 2/15/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,021,340</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">13,302,560</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Basic Material&#151;2.1%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="12%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Century Aluminum Co., 11.75%, 4/15/08</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">2,240,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Building &amp; Development&#151;3.1%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="12%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Beazer Homes USA, Inc., 8.625%, 5/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,080,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Schuler Homes, Inc., 9.375%, 7/15/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">2,210,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">3,290,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Chemical&#151;3.9%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="12%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Lyondell Chemical Co., Ser. B, 9.875%, 5/01/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">2,100,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,796</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Noveon, Inc., Ser. B, 11.00%, 2/28/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">2,110,300</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">4,210,300</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Conglomerates&#151;4.8%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="12%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">325</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Honeywell Intl., Inc., 7.50%, 3/01/10</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">374,433</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">MDP Acquisitions PLC, 9.625%, 10/01/12</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,672,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Penhall Intl., Inc., 12.00%, 8/01/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,900,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,132</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="69%"><FONT size=1 face="serif">Tyco Intl. Group SA, 6.375%, 2/15/06 (Luxembourg)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,192,607</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">5,139,540</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Consumer Products&#151;2.0%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="12%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="69%"><FONT size=1 face="serif">General Mills, Inc., 5.125%, 2/15/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,045,470</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">575</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="69%"><FONT size=1 face="serif">Kellogg Co., Ser. B, 6.00%, 4/01/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">609,753</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="69%"><FONT size=1 face="serif">Pantry, Inc., The, 7.75%, 2/15/14</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">502,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">2,157,723</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Containers &amp; Glass&#151;2.9%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="12%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Crown European Holdings SA, 10.875%, 3/01/13 (France)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,160,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,800</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Plastipak Holdings, Inc., 10.75%, 9/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,944,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">3,104,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Ecological Services &amp; Equipment&#151;3.6%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="12%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Allied Waste NA, Inc., Ser. B, 10.00%, 8/01/09</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">2,140,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Casella Waste Systems Inc., 9.75%, 2/01/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,665,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">3,805,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><B><FONT size=2 face="serif">Energy&#151;20.1%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="12%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="69%"><FONT size=1 face="serif">Anadarko Petroleum Corp., 5.375%, 3/01/07</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,053,950</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Calpine Corp., 10.50%, 5/15/06</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,357,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="69%"><FONT size=1 face="serif">Compagnie Generale de Geophysique SA, 10.625%, 11/15/07 (France)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">2,155,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="69%"><FONT size=1 face="serif">ConocoPhillips Holding Co., 6.95%, 4/15/29</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,100,720</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="69%"><FONT size=1 face="serif">Dresser, Inc., 9.375%, 4/15/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">2,160,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">250</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="69%"><FONT size=1 face="serif">DTE Energy Co., 7.05%, 6/01/11</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">275,370</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="69%"><FONT size=1 face="serif">Dynegy Holdings Inc., 10.125%, 7/15/13</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=1 face="serif">1,650,000</FONT></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">43</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_91"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Strategic Bond Trust (BHD) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="10%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="66%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="66%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="66%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><B><FONT size=2 face="serif">Energy&#151;(cont&#146;d)</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">El Paso Corp.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC+</FONT></div></TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">165</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.75%, 1/15/32</FONT></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">129,937</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">85</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.80%, 8/01/31</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">66,938</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">670</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">El Paso Natural Gas Co., Ser. B, 8.50%, 6/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">748,725</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,750</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">El Paso Production Holding Co., 7.75%, 6/01/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,662,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">105</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Exelon Corp., 6.75%, 5/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">115,731</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Baa3</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">325</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="66%"><FONT size=1 face="serif">FirstEnergy Corp., Ser. C, 7.375%, 11/15/31</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">341,338</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Hanover Equipment Test, Ser. A, 8.50%, 9/01/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,110,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B1</FONT></div></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Midwest Generation LLC, 8.75%, 5/01/34</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,000,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">250</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Occidental Petroleum Corp., 6.75%, 1/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">277,988</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Baa2</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="66%"><FONT size=1 face="serif">Progress Energy, Inc., 6.75%, 3/01/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,068,210</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Swift Energy Co., 10.25%, 8/01/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,120,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Western Gas Resources, Inc., 10.00%, 6/15/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,115,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">21,508,907</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><B><FONT size=2 face="serif">Farming &amp; Agriculture&#151;0.3%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B2</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">300</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="66%"><FONT size=1 face="serif">Gold Kist, Inc., 10.25%, 3/15/14</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">315,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><B><FONT size=2 face="serif">Finance &amp; Banking&#151;16.8%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="66%"><FONT size=1 face="serif">Allstate Corp., 7.875%, 5/01/05</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">529,250</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa3</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="66%"><FONT size=1 face="serif">Bank One Corp., 6.50%, 2/01/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,070,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa3</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">650</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2,3</FONT></SUP></TD>
   <TD width="66%"><FONT size=1 face="serif">Barclays Bank PLC, 8.55%, 9/29/49 (United Kingdom)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">785,757</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A1</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">325</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="66%"><FONT size=1 face="serif">Bear Stearns Co., Inc., 6.50%, 5/01/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">348,774</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B1</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Bluewater Finance Ltd., 10.25%, 2/15/12 (United Kingdom)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,090,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa1</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">3,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="66%"><FONT size=1 face="serif">Citigroup, Inc., 5.75%, 5/10/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,182,130</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">3</FONT></SUP></TD>
   <TD width="66%"><FONT size=1 face="serif">Crum &amp; Forster Holdings Corp., 10.375%, 6/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">552,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Ford Motor Credit Co.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">750</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="66%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.80%, 1/12/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">763,305</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3 </FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD><div align="right"><font size=1 face="serif">2,000</font></div></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="66%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.875%, 2/01/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,119,820</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">General Motors Acceptance Corp.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">250</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="66%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 1/15/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">264,817</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">900</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="66%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.875%, 9/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">940,824</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;
    <div align="center"><FONT size=1 face="serif">A3</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">300</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="66%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 11/01/31</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">314,310</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">850</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="66%"><FONT size=1 face="serif">KFW Intl. Finance, Inc., 5.25%, 6/28/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">897,303</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ba2</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">410</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Labranche &amp; Co., Inc., 12.00%, 3/02/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">481,750</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Lehman Brothers Holdings, Inc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A1</FONT></div></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="66%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 5/15/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,069,430</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="66%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10.375%, 6/01/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,045,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">325</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="66%"><FONT size=1 face="serif">MetLife, Inc., 6.125%, 12/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">349,937</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B2</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">885</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">WMC Finance Co., 11.75%, 12/15/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,088,550</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">17,893,457</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><B><FONT size=2 face="serif">Forest Products&#151;2.9%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Caraustar Industries, Inc., 9.875%, 4/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,040,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Weyerhaeuser Co., 6.125%, 3/15/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,069,310</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD colspan=2>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,109,310</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><B><FONT size=2 face="serif">Health Care&#151;7.4%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD>
    <div align="center"><FONT size=1 face="serif">NR</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%" align="right" valign="bottom"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%" valign="bottom"><FONT size=1 face="serif">HealthSouth Corp., 6.875%, 6/15/05</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,000,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Insight Health Services Corp., Ser. B, 9.875%, 11/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,020,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Matria Healthcare, Inc., Ser. B, 11.00%, 5/01/08</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,220,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,500</FONT></TD>

   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">United Surgical Partners Intl., Inc., 10.00%, 12/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,702,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">7,942,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><B><FONT size=2 face="serif">Hotels &amp; Casinos&#151;3.1%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ba2</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Park Place Entertainment Corp., 7.875%, 3/15/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,187,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Resorts Intl. Hotel &amp; Casino, Inc., 11.50%, 3/15/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,110,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,297,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><B><FONT size=2 face="serif">Industrial Equipment&#151;2.1%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Mail-Well I Corp., 9.625%, 3/15/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,200,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><B><FONT size=2 face="serif">Leisure&#151;1.6%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="5%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="66%"><FONT size=1 face="serif">Royal Caribbean Cruises Ltd., 8.75%, 2/02/11 (Liberia)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,717,500</FONT></TD>
  </TR>
<TR>

   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">44</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_93"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Strategic Bond Trust (BHD) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="9%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Principal</FONT></B></TD>
   <TD align="center" width="70%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center" width="70%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><B><FONT size=2 face="serif">Rating</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(000)</FONT></B></TD>
   <TD align="center" width="70%"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
  </TR>
<TR>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD colspan=2><HR noshade size=2></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Media&#151;12.9%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">NR</FONT></div></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2,4</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Adelphia Communications Corp., Ser. B, 10.50%, 7/15/04</FONT></TD>
   <TD width="2%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,100,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B1</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Alliance Atlantis Communications, Inc., 13.00%, 12/15/09 (Canada)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,672,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">AOL Time Warner, Inc., 7.70%, 5/01/32</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,101,970</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ca</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Charter Communications Holdings LLC, 11.125%, 1/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,775,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Comcast Cable Communications, Inc., 6.875%, 6/15/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,100,885</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">EchoStar DBS Corp., 10.375%, 10/01/07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,160,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Nextmedia Operating, Inc., 10.75%, 7/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,255,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Viacom, Inc., 6.625%, 5/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,105,930</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">CCC+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">WRC Media, Inc., 12.75%, 11/15/09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,500,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">13,771,285</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Pharmaceuticals&#151;0.5%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Curative Hlth. Svcs. Inc., 10.75%, 5/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">501,875</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Real Estate&#151;2.5%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">500</FONT></TD>

   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">ERP Operating LP, 6.95%, 3/02/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">557,300</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Felcore Lodging LP,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B1</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.00%, 6/01/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,067,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B1</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="center" width="70%"><div align="left"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10.00%, 3/15/04</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,067,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,692,300</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Technology&#151;2.0%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Unisys Corp., 8.125%, 6/01/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,155,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Telecommunication&#151;8.9%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B-</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,750</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">ACC Escrow Corp., Ser. B, 10.00%, 8/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,688,750</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">900</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">AT&amp;T Corp., 7.25%, 5/15/04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">986,589</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Crown Castle Intl. Corp., 10.75%, 8/01/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,132,500</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Ba3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">PanAmSat Corp., 8.50%, 2/01/12</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,260,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Aa3</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Verizon New England, Inc., 6.50%, 9/15/11</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,173,840</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">A</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">Vodafone Group PLC, 7.75%, 2/15/10 (United Kingdom)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,159,260</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Worldcom, Inc.,</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">NR</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">35</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">5,6</FONT></SUP></TD>
   <TD align="center" width="70%"><div align="left"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.908%, 5/01/07&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">34,562</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">NR</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">35</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">5,6</FONT></SUP></TD>
   <TD align="center" width="70%"><div align="left"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.688%, 5/01/09&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">33,163</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">NR</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">30</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">5,6</FONT></SUP></TD>
   <TD align="center" width="70%"><div align="left"><FONT size=1 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.735%, 5/01/14</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">27,825</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">9,496,489</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Transportation&#151;3.1%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">BBB+</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">500</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Canadian National Railway Co., 6.90%, 7/15/28 (Canada)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">544,535</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">2,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Railamerica Transportation Corp., 12.875%, 8/15/10</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">2,320,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">B</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">440</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Sea Containers Ltd., 10.50%, 5/15/12 (Bermuda)</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">435,600</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">3,300,135</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Total Corporate Bonds</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">132,081,534</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">U.S. Government Securities&#151;1.3%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">410</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">U.S. Treasury Bonds, 5.375%, 2/15/31</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">415,252</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">U.S. Treasury Notes, 4.25%, 8/15/13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">983,590</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">Total U.S. Government Securities</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,398,842</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Foreign Government Bonds&#151;1.0%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">Baa2</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">1,000</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><FONT size=1 face="serif">United Mexican States, 8.125%, 12/30/19</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">1,075,000</FONT></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><div align="center"></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="70%"><B><FONT size=2 face="serif">Supranational&#151;0.8%</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
  </TR>
<TR>
   <TD><div align="center"><FONT size=1 face="serif">AAA</FONT></div></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="4%"><FONT size=1 face="serif">850</FONT></TD>
   <TD width="4%"><SUP><FONT size=1 face="serif">2</FONT></SUP></TD>
   <TD width="70%"><FONT size=1 face="serif">European Investment Bank, 4.875%, 9/06/06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">892,194</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">45</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_95"></A>

<P>
<B><FONT size=2 face="serif">BlackRock Strategic Bond Trust (BHD) (continued)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD align="right" width="8%"><div align="center"><B><FONT size=2 face="serif">Shares</FONT></B></div></TD>
   <TD width="81%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD align="right" width="8%"><div align="center"><B><FONT size=2 face="serif">(000)</FONT></B></div></TD>
   <TD align="center"><B><FONT size=2 face="serif">Description</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value</FONT></B></TD>
   <TD align="center" width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="center" size=2 noshade></TD>
   <TD><HR align="center" size=2 noshade></TD>
   <TD colspan=2><HR align="center" size=2 noshade></TD>
   <TD><HR align="center" size=2 noshade></TD>
</TR>
<TR>
   <TD width="8%"><div align="center"></div></TD>
   <TD width="81%"><B><FONT size=2 face="serif">Common Stock&#151;0.1%</FONT></B></TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD width="8%"><div align="center"><FONT size=1 face="serif">5</FONT></div></TD>
   <TD width="81%"><FONT size=1 face="serif">MCI, Inc</FONT></TD>
   <TD align="center" width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">66,519</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD width="8%">&nbsp;</TD>
   <TD><B><FONT size=1 face="serif">Total Investments&#151;126.9% </FONT></B><FONT size=1 face="serif">(cost $</FONT><FONT size=1 face="serif">128,137,033</FONT><FONT size=1 face="serif">)</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">135,514,089</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD width="8%">&nbsp;</TD>
   <TD width="81%"><FONT size=1 face="serif">Liabilities in excess of other assets&#151;(26.9)%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">(28,689,256</FONT></TD>
   <TD width="1%"><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD width="8%">&nbsp;</TD>
   <TD width="81%"><B><FONT size=1 face="serif">Net Assets&#151;100%</FONT></B></TD>
   <TD align="center" width="1%"><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=1 face="serif">106,824,833</FONT></TD>
   <TD width="1%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<TABLE>
<tr>
   <td valign="top" colspan="2"><SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Using the higher of S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating.</FONT><BR><SUP><FONT size=1 face="serif">2</FONT></SUP>&nbsp;<FONT
size=1 face="serif">Entire or partial principal amount pledged as collateral for reverse repurchase agreements or financial futures contracts.</FONT><BR><SUP><FONT size=1 face="serif">3</FONT></SUP>&nbsp;<FONT size=1 face="serif">Security is not
registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2004, the Trust held 0.5% of its net assets, with a current
market value of $3,805,757, in securities restricted as to resale.</FONT><BR><SUP><FONT size=1 face="serif">4</FONT></SUP>&nbsp;<FONT size=1 face="serif">Issuer is technically in default and/or bankruptcy.</FONT><BR><SUP><FONT size=1
face="serif">5</FONT></SUP>&nbsp;<FONT size=1 face="serif">Security is fair valued.</FONT><BR><SUP><FONT size=1 face="serif">6</FONT></SUP>&nbsp;<FONT size=1 face="serif">Illiquid securities representing 0.09% of net assets.</FONT><BR></td>
</tr>
</TABLE>
<P>
<FONT size=1 face="serif">Details of open reverse repurchase agreements are disclosed in Note 4 in the Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">46</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_97"></A>




<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD colspan=30><B><FONT size=4 face="serif">STATEMENTS OF ASSETS AND LIABILITIES (unaudited)</FONT></B></TD>
  </TR>
<TR>
   <TD width="36%"><B><FONT face="serif">April 30, 2004</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="0%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="0%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="0%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="6%">&nbsp;</TD>
   <TD width="0%">&nbsp;</TD>
</TR>
<TR>
   <TD colspan="30"><hr noshade></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Broad Investment</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Income</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Limited</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Grade 2009</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Core</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">High</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Opportunity</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Income</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Duration</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Strategic</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Term Trust Inc.</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Bond Trust</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Yield Trust</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Trust</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Trust </FONT></B><B><FONT size=2 face="serif">Inc.</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Income Trust</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Bond Trust</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(BCT)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(BHK)</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(BHY)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(BNA)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(BKT)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(BLW)</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">(BHD)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Assets</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Investments at value</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD><div align="right"><FONT size=2 face="serif">$</FONT></div></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">68,872,363</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">647,259,333</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">67,498,617</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">549,207,086</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">758,971,906</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">1,092,053,626</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">135,514,089</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Cash</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">137,436</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">21,603</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">91,532</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">93,955</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">148,625</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">314,402</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">110,454</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD colspan="2">&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Foreign currency at value (cost $</FONT><FONT size=2 face="serif">170,676</FONT><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">171,159</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Receivable from investments sold</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">22,621,707</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">90,597</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">6,135,118</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">3,154,424</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Variation margin receivable</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">20,875</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif"></FONT>Receivable for open forward foreign currency contracts</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">30,976,290</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Interest receivable</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">736,766</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">8,389,997</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">1,546,631</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">7,519,308</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">6,442,734</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">15,342,837</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">3,239,274</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif"></FONT>Unrealized appreciation on interest rate swaps</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">354,781</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">140,154</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">1,192,796</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Other assets</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 13,047</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 39,304</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 58,506</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 99,168</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 118,578</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 22,367</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 7,822</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 69,780,487</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 709,834,174</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 69,195,286</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 557,150,268</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 773,009,757</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 1,110,887,656</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 138,871,639</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Liabilities</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Reverse repurchase agreement</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">22,997,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">118,008,513</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">110,651,925</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">129,732,913</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">239,748,400</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">31,389,625</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif"></FONT>Payable for investments purchased</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">164,067,037</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,384</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">95,950,485</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">141,277,465</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">428,424</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Variation margin payable</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">14,459</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">687</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">291,594</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Loan payable</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">19,250,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Investments sold short at value</FONT><SUP><FONT size=2 face="serif">3</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">32,141,472</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">96,195,728</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD colspan=2><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif"></FONT>Outstanding options written at value</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">1,153,484</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">2,064,683</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">3,491,207</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Interest payable</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,142</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">233,651</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">25,368</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">851,438</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">1,728,438</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">79,834</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">11,184</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Interest rate floors at value</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">449,871</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif"></FONT>Payable for open forward foreign currency contracts</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">30,922,699</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Investment advisory fee payable</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">21,379</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">232,413</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">41,224</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">204,785</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">238,489</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">493,004</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">62,926</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Administration fee payable</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,831</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">1,835</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">67,620</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">98,729</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif"></FONT>Deferred Directors&#146; or Trustees&#146; fees</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">12,669</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">36,379</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">19,298</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">96,397</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">116,101</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">14,412</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,968</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Other accrued expenses</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 179,399</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 64,872</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 135,521</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 187,132</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 196,897</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 193,843</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 147,679</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 23,220,420</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 314,733,507</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 19,473,246</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 146,268,523</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 328,490,452</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 381,806,958</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 32,046,806</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>

   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Net Assets</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">46,560,067 </FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">395,100,667 </FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">49,722,040</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">410,881,745 </FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">444,519,305 </FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">729,080,698 </FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">106,824,833 </FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Composition of Net Assets Applicable to Common Shareholders:</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Par value</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">29,571</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">27,019</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">6,396</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">344,497</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">635,695</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">36,727</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,044</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Paid-in capital in excess of par</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">39,184,069</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">386,195,639</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">93,702,989</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">406,532,068</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">555,097,290</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">700,009,638</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">100,384,626</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Cost of shares held in treasury</FONT><SUP><FONT size=2 face="serif">5</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">(17,377,850</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Undistributed (distributions in excess of) net investment income</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">8,389,669</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">2,376,420</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(200</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">4,605,705</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">6,324,512</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">1,517,925</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">1,088,461</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Accumulated net realized gain (loss)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">(1,670,280</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">1,201,638</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">(36,529,753</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">2,902,569</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">(105,579,216</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">3,725,762</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">(2,032,354</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net unrealized appreciation (depreciation)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 627,038</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 5,299,951</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> (7,457,392</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 13,874,756</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> (11,958,976</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 23,790,646</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=3><FONT size=2 face="serif"> 7,377,056</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net assets applicable to common shareholders, April 30, 2004</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">46,560,067</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">395,100,667 </FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">49,722,040</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">410,881,745 </FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">444,519,305 </FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">729,080,698 </FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">106,824,833 </FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net asset value per common share</FONT><SUP><FONT size=2 face="serif">6</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">15.75</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">14.62</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">7.77</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">11.93</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">6.99</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">19.85</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">15.16</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><SUP><FONT size=2 face="serif">1</FONT></SUP><FONT size=2 face="serif">Consolidated Statement of Assets and Liabilities</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><SUP><FONT size=2 face="serif">2</FONT></SUP><FONT size=2 face="serif">Investments at cost</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">68,043,676</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">643,012,936</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">74,956,009</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">534,449,954</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">775,567,245</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">1,068,262,980</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">128,137,033</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><SUP><FONT size=2 face="serif">3</FONT></SUP><FONT size=2 face="serif">Proceeds received</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">32,271,393</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">96,272,921</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><SUP><FONT size=2 face="serif">4</FONT></SUP><FONT size=2 face="serif">Premium received</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">1,904,227</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">2,658,335</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">4,413,022</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><SUP><FONT size=2 face="serif">5</FONT></SUP><FONT size=2 face="serif">Shares held in treasury</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">1,757,400</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><SUP><FONT size=2 face="serif">6</FONT></SUP><FONT size=2 face="serif">Common shares outstanding</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">2,957,093</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">27,018,774</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">6,395,321</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">34,449,693</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">63,569,490</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">36,727,287</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">7,044,552</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">47</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">48</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD colspan="9"><B><FONT size=4 face="serif">STATEMENTS OF OPERATIONS (unaudited)</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD colspan="9"><B><FONT face="serif">For the six months ended April 30, 2004</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD colspan="22"><hr noshade></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Broad Investment</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Income</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Limited</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Grade 2009</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Core</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">High</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Opportunity</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Income</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Duration</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Strategic</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Term Trust Inc.</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Bond Trust</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Yield Trust</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Trust</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Trust Inc.</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Income Trust</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Bond Trust</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">(BCT)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">(BHK)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">(BHY)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">(BNA)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">(BKT)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">(BLW)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">(BHD)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan="2"><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Investment Income</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Interest Income</FONT></TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1,939,303</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">16,478,391</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3,867,393</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">15,526,358</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">18,365,235</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">30,415,948</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 5,963,320</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Expenses</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Investment advisory</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">130,474</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,538,749</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">347,945</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,243,812</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,459,591</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,887,080</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">542,992</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Administration</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">35,583</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">33,138</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">207,302</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">336,829</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Transfer agent</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,411</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,462</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8,008</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">17,416</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">41,860</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8,918</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,462</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Custodian</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">30,212</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">77,806</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">17,911</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">82,518</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">88,031</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">126,968</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">29,061</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Reports to shareholders</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10,590</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">46,200</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">15,176</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">45,245</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">67,808</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">62,145</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">13,126</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Trustees</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,579</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">28,938</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,079</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">29,724</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">38,948</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">39,858</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,916</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Registration</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">801</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">15,707</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11,218</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">15,707</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">22,204</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">21,658</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11,218</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Independent accountants</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">17,555</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">22,725</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">17,681</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">45,680</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">41,646</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">23,471</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">18,534</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Legal</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">16,662</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">24,437</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,051</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">25,083</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">32,487</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">38,334</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,450</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Insurance</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,323</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">18,452</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,326</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">18,198</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">17,895</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">40,705</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,387</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Miscellaneous</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 5,179</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 22,792</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 4,934</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 26,523</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 37,304</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 20,237</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 7,881</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Total expenses excluding interest expense and excise tax</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">261,369</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,803,268</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">470,467</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,757,208</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,184,603</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,269,374</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">650,027</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Interest expense</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">115,678</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">646,318</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">155,885</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">489,396</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">538,455</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">996,950</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">244,199</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Excise tax</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 191,369</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Total expenses</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">568,416</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,449,586</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">626,352</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,246,604</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,723,058</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,266,324</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">894,226</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Less fees waived by Advisor</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(144,798</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Less fees paid indirectly</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1,304</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (985</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (9,718</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (2,673</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (35,925</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (5,219</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net expenses</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 568,416</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 2,448,282</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 625,367</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 2,236,886</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 2,720,385</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 4,230,399</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 744,209</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1,370,887</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 14,030,109</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 3,242,026</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 13,289,472</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 15,644,850</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 26,185,549</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 5,219,111</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Realized and Unrealized Gain (Loss)</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Investments</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(890,020</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,856,668</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1,415,255</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1,744,744</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(4,926,077</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,335,297</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(538,594</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Foreign currency</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">134,776</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Futures</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">721,171</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(489,761</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,790,582</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(59,561</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Interest rate swaps</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1,901,650</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,785,143</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(2,038,229</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Options written</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">210,646</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">870,289</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">247,277</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Short sales</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1,171,507</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (417,329</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (168,849</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 4,982,186</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1,415,255</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 5,701,270</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (7,193,919</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 3,335,297</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (538,594</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net change in unrealized depreciation on:</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Investments</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(967,094</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(7,663,083</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,544,745</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1,105,481</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(8,573,099</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,915,258</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,804,231</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Foreign currency</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">35,628</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Futures</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">274,543</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(418,797</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(2,566,423</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,028,535</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Interest rate floors</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">199,199</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Interest rate swaps</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">245,815</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(2,513,941</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">261,299</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Options written</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">84,051</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">743,704</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,120,713</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Short sales</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1,049,416</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 821,251</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1,853,618</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (692,551</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (6,666,970</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 6,544,745</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (4,620,890</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (3,109,735</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1,915,258</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1,804,231</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>

<TR>
   <TD><FONT size=2 face="serif">Net gain (loss)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (861,400</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1,684,784</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 5,129,490</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1,080,380</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (10,303,654</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 5,250,555</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1,265,637</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Net Increase in Net Assets Resulting from Operations</FONT></B></TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">509,487</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">12,345,325</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">8,371,516</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">14,369,852</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">5,341,196</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">31,436,104</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">6,484,748</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Consolidated Statement of Operations.</FONT>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">49&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif"></FONT></FONT><FONT size=2 face="serif">50</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD colspan="12"><B><FONT size=4 face="serif">STATEMENTS OF CASH FLOWS (unaudited)</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD colspan="12"><B><FONT face="serif">For the six months ended April 30, 2004</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD colspan="22"><hr noshade></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Broad Investment</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Income</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Limited</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Reconciliation of Net Increase</FONT></B></TD>
   <TD align="right" colspan=2><div align="center"><B><FONT size=2 face="serif">Grade 2009</FONT></B></div></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Core</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD colspan="2"><div align="center"><B><FONT size=2 face="serif">High</FONT></B></div></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><div align="center"><B><FONT size=2 face="serif">Opportunity</FONT></B></div></TD>
   <TD>&nbsp;</TD>
   <TD colspan="2"><div align="center"><B><FONT size=2 face="serif">Income</FONT></B></div></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Duration</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Strategic</FONT></B></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<B><FONT size=2 face="serif">in Net Assets Resulting from Operations to</FONT></B></TD>
   <TD align="right" colspan=2><B><FONT size=2 face="serif">Term Trust Inc.</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Bond Trust</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD colspan="2"><div align="center"><B><FONT size=2 face="serif">Yield Trust</FONT></B></div></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><div align="center"><B><FONT size=2 face="serif">Trust</FONT></B></div></TD>
   <TD>&nbsp;</TD>
   <TD colspan="2"><B><FONT size=2 face="serif">Trust Inc.</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Income Trust</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Bond Trust</FONT></B></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<B><FONT size=2 face="serif">Net Cash Flows Provided by (Used for)</FONT></B></TD>
   <TD align="right" colspan=2><div align="center"><B><FONT size=2 face="serif">(BCT)</FONT></B></div></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">(BHK)</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD colspan="2"><div align="center"><B><FONT size=2 face="serif">(BHY)</FONT></B></div></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><div align="center"><B><FONT size=2 face="serif">(BNA)</FONT></B></div></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><div align="center"><B><FONT size=2 face="serif">(BKT)</FONT></B></div></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">(BLW)</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">(BHD)</FONT></B></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<b><font size=2 face="serif">Operating Activities</font></b></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net Increase in net assets resulting from operations</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 509,487</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">12,345,325</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 8,371,516</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 14,369,852</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">5,341,196</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 31,436,104</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 6,484,748</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Decrease (Increase) in investments</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(4,088,061</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(104,879,399</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(911,181</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10,685,339</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(59,762,738</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(21,668,363</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12,111,583</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net realized loss (gain)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">168,849</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(4,982,186</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,415,255</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(5,701,270</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,193,919</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(3,335,297</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">538,594</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Decrease (Increase) in unrealized appreciation (depreciation)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">692,551</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,666,970</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(6,544,745</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,620,890</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,109,735</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1,915,258</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1,804,231</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">(Decrease) in investments sold short</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1,459,680</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(21,598,875</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(40,152,923</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Increase (Decrease) in outstanding options written</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(999,968</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(517,947</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">238,088</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">(Increase) in interest rate floor</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(378,074</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Decrease (Increase) in interest rate swaps</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(543,088</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,513,941</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(361,300</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Decrease in receivable for investments sold</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,144,618</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">22,558,159</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">403,691</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,645,740</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">407,234</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8,480,575</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,159,542</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">(Increase) in receivable for open forward foreign currency contracts</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(30,909,103</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Decrease in variation margin receivable</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">35,688</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">388,797</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">159,375</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Decrease (Increase) in interest receivable</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">41,640</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(237,863</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">313,891</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">363,369</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1,354,286</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1,447,707</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">295,076</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Decrease (Increase) in other assets</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,311</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10,473</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1,019</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,260</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8,709</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">18,681</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,183</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Increase (Decrease) in payable for investments purchased</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">61,614,641</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,384</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">94,696,678</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(105,278,089</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">428,424</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Increase in payable for open forward foreign currency contracts</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">30,922,699</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">(Decrease) in payable for closed forward foreign currency contracts, net</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(64,413</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Increase (Decrease) in variation margin payable</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(52,385</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">687</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">291,594</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Increase (Decrease) in interest payable</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(9,279</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">52,810</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1,374</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(143,616</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(224,741</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">50,679</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(13,435</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Increase (Decrease) in investment advisory fee payable</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1,018</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">20,962</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,195</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(4,368</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(14,504</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">17,625</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(8,297</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Increase (Decrease) in administration fee payable</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(277</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">304</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(728</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(3,348</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Increase in deferred Directors&#146;/Trustees&#146; fees</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,489</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10,167</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,470</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12,225</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">14,584</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12,912</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,830</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Increase (Decrease) in accrued expenses</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (162,197</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 23,116</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 19,379</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 50,003</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 25,119</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 67,920</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 14,600</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Total adjustments</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (2,174,686</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (22,248,088</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (5,300,134</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (6,674,169</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 3,893,121</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (124,996,322</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 13,727,869</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net cash provided by (used for) operating activities</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> (1,665,199</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">(9,902,763</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3,071,382</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">7,695,683</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">9,234,317</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> (93,560,218</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">20,212,617</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Increase (Decrease) in Cash and Foreign Currency</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net cash provided by (used for) operating activities</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> (1,665,199</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">(9,902,763</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 3,071,382</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 7,695,683</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 9,234,317</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> (93,560,218</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">20,212,617</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Cash provided by (used for) financing activities:</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Capital contributions</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">137,868</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,304,285</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">429,364</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">136,991</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Increase (decrease) in reverse repurchase agreements</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,044,375</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">26,340,044</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,273,900</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,966,100</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">120,754,925</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(14,481,969</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Cash dividends paid</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1,330,692</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (15,784,368</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (3,225,398</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (14,468,871</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (19,436,198</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (27,532,174</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (5,841,877</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net cash provided by (used for) financing activities</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1,713,683</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 10,555,676</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (3,087,530</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (7,194,971</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (10,165,813</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 93,652,115</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (20,186,855</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net increase (decrease) in cash</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">48,484</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">652,913</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(16,148</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">500,712</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(931,496</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">91,897</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">25,762</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Cash and foreign currency at beginning of period</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 88,952</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (460,151</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 107,680</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (406,757</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1,080,121</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 222,505</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 84,692</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Cash and foreign currency at end of period</FONT></TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">137,436</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">192,762</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">91,532</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">93,955</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">148,625</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">314,402</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">110,454</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Consolidated Statement of Cash Flows.</FONT>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">51</FONT><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif"></FONT></FONT><FONT size=2 face="serif"></FONT><FONT size=2 face="serif">52</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD colspan=21><B><FONT size=4 face="serif">STATEMENTS OF CHANGES IN NET ASSETS</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD colspan=30><B><FONT face="serif">For the six months ended April 30, 2004 (unaudited), and for the year ended October 31, 2003</FONT></B></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
  <TD colspan="31"><hr noshade></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=5><B><FONT size=1 face="serif">Broad Investment Grade</FONT></B></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=5><B><FONT size=1 face="serif">2009 Term Trust</FONT></B></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=5><B><FONT size=1 face="serif">Core Bond Trust</FONT></B></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=5><B><FONT size=1 face="serif">High Yield Trust</FONT></B></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=5><B><FONT size=1 face="serif">Income Opportunity Trust</FONT></B></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=5><font size="1"><B><FONT face="serif">Income TrustInc.</FONT></B></font></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=5><B><FONT size=1 face="serif"> (BCT)</FONT></B></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=5><B><FONT size=1 face="serif"> (BHK)</FONT></B></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=5><B><FONT size=1 face="serif"> (BHY)</FONT></B></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=5><B><FONT size=1 face="serif"> (BNA)</FONT></B></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=5><B><FONT size=1 face="serif"> (BKT)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=5><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=5><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=5><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=5><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=5><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">2004</FONT></B></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">2003</FONT></B></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD colspan=2 align="center"><font size="1"><B><FONT face="serif">2004 </FONT></B></font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD colspan=2 align="center"><b><font size=1 face="serif">2003</font></b></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD colspan=2 align="center"><font size="1"><B><FONT face="serif">2004 </FONT></B></font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD colspan=2 align="center"><b><font size=1 face="serif">2003</font></b></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">2004</FONT></B></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">2003</FONT></B></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">2004</FONT></B></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">2003</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=1 face="serif">Increase (Decrease) in Net Assets</FONT></B></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=1 face="serif">Operations:</FONT></B></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center"><font size="1">&nbsp;</font></TD>
   <TD align="center" colspan=2><font size="1">&nbsp;</font></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD><font size="1">&nbsp;&nbsp;&nbsp;<FONT face="serif">Net investment income</FONT></font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">1,370,887</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">3,760,612</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">14,030,109</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">22,380,605</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">3,242,026</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">6,766,264</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">13,289,472</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">28,912,640</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">15,644,850</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">38,641,106</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><font size="1">&nbsp;&nbsp;&nbsp;<FONT face="serif">Net realized gain (loss)</FONT></font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right"><FONT size=1 face="serif">(168,849</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right"><FONT size=1 face="serif">(2,958,847</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right"><FONT size=1 face="serif">4,982,186</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right"><FONT size=1 face="serif">10,108,933</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right"><FONT size=1 face="serif">(1,415,255</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right"><FONT size=1 face="serif">(4,771,417</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right"><FONT size=1 face="serif">5,701,270</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right"><FONT size=1 face="serif">(3,180,087</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right"><FONT size=1 face="serif">(7,193,919</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right"><FONT size=1 face="serif">(22,020,705</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD><font size="1">&nbsp;&nbsp;&nbsp;<FONT face="serif">Net change in unrealized appreciation/depreciation</FONT></font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (692,551</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (1,159,473</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (6,666,970</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 10,896,869</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 6,544,745</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 10,326,575</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (4,620,890</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 14,036,271</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (3,109,735</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (10,738,760</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=1 face="serif">Net increase (decrease) in net assets resulting</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
</TR>
<TR>
   <TD><font size="1">&nbsp;&nbsp;&nbsp;<FONT face="serif">from operations</FONT></font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 509,487</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (357,708</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 12,345,325</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 43,386,407</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 8,371,516</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 12,321,422</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 14,369,852</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 39,768,824</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 5,341,196</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 5,881,641</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
</TR>
<TR>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
</TR>
<TR>
   <TD><B><FONT size=1 face="serif">Dividends and Distributions</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<B><FONT size=1 face="serif">to Shareholders from:</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=1 face="serif">Net investment income</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=1 face="serif">(1,330,692</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=1 face="serif">(3,504,653</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=1 face="serif">(10,869,172</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=1 face="serif">(27,108,407</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=1 face="serif">(3,225,398</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=1 face="serif">(7,116,448</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=1 face="serif">(14,468,871</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=1 face="serif">(27,903,349</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=1 face="serif">(19,436,198</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=1 face="serif">(63,862,381</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=1 face="serif">Net realized gain</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (4,915,196</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (4,976,352</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (8,364,454</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> &#151;</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
</TR>
<TR>
   <TD><FONT size=1 face="serif">Total dividends and distributions</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (1,330,692</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (3,504,653</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (15,784,368</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (32,084,759</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (3,225,398</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (7,116,448</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (14,468,871</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (36,267,803</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (19,436,198</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (63,862,381</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
</TR>
<TR>
   <TD><B><FONT size=1 face="serif">Reinvestment of dividends</FONT></B></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> &#151;</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> &#151;</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> &#151;</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> &#151;</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 137,868</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 280,376</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> &#151;</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> &#151;</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 1,304,285</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 3,905,622</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
</TR>
<TR>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
</TR>
<TR>
   <TD><FONT size=1 face="serif">Total increase (decrease)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (821,205</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (3,862,361</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (3,439,043</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 11,301,648</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 5,283,986</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 5,485,350</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (99,019</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 3,501,021</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (12,790,717</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> (54,075,118</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
</TR>
<TR>
   <TD><B><FONT size=1 face="serif">Net Assets:</FONT></B></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
</TR>
<TR>
   <TD><FONT size=1 face="serif">Beginning of period</FONT></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 47,381,272</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 51,243,633</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 398,539,710</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 387,238,062</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 44,438,054</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 38,952,704</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 410,980,764</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 407,479,743</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 457,310,022</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="right" colspan=2><FONT size=1 face="serif"> 511,385,140</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
</TR>
<TR>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD><font size="1">&nbsp;</font></TD>
</TR>
<TR>
   <TD><FONT size=1 face="serif">End of period</FONT></TD>
   <TD align="center"><FONT size=1 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">46,560,067</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif"> 47,381,272</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="center"><FONT size=1 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">395,100,667</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif"> 398,539,710</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="center"><FONT size=1 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">49,722,040</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">44,438,054 </FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="center"><FONT size=1 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">410,881,745</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="center"><FONT size=1 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">410,980,764</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="center"><FONT size=1 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">444,519,305</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD align="center"><FONT size=1 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">457,310,022</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=1 face="serif">End of period undistributed (distribution in excess of)</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><font size="1">&nbsp;</font></TD>
</TR>
<TR>
   <TD><font size="1">&nbsp;&nbsp;&nbsp;<FONT face="serif">net investment income</FONT></font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">8,389,669</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">8,349,474</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">2,376,420</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">&#151;</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">(200</FONT></TD>
   <TD><FONT size=1 face="serif">)</FONT></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">&#151;</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">4,605,705</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">5,785,104</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">6,324,512</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
   <TD><FONT size=1 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=1 face="serif">10,115,860</FONT></TD>
   <TD><font size="1">&nbsp;</font></TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Consolidated Statement of Changes in Net Assets.</FONT>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">53</FONT><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif"></FONT></FONT><FONT size=2 face="serif"></FONT><FONT size=2 face="serif"></FONT><FONT size=2 face="serif">54</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD colspan=13><B><FONT size=4 face="serif">STATEMENTS OF CHANGES IN NET ASSETS (continued)</FONT></B></TD>
  </TR>
<TR>
   <TD colspan=13><B><FONT face="serif">For the six months ended April 30, 2004 (unaudited) and for the year ended October 31, 2003</FONT></B></TD>
  </TR>
<TR>
   <TD colspan=12><HR noshade size=2></TD>
   <TD width="1%"><HR noshade size=2></TD>
</TR>
<TR>
   <TD width="50%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="10%">&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=5><B><FONT size=2 face="serif">Limited Duration Income Trust</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=5><B><FONT size=2 face="serif">Strategic Bond Trust</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=5><B><FONT size=2 face="serif">(BLW)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=5><B><FONT size=2 face="serif">(BHD)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=5><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=5><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2004</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2003</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2004</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2003</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Increase (Decrease) in Net Assets</FONT></B></TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Operations:</FONT></B></TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">26,185,549</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">12,026,055</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">5,219,111</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">11,147,173</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net realized gain (loss)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,335,297</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">390,465</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(538,594</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1,177,052</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net change in unrealized appreciation/depreciation</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1,915,258</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 21,875,388</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1,804,231</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 17,670,059</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net increase in net assets resulting from operations</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 31,436,104</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 34,291,908</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 6,484,748</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 27,640,180</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Dividends from Net Investment Income:</FONT></B></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (27,532,174</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (9,176,505</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (5,841,877</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (10,466,535</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Capital Share Transactions:</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net proceeds from the issuance of common shares</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">653,888,001</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net proceeds from the underwriters&#146;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">over-allotment option exercised</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">45,744,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Reinvestment of dividends</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 429,364</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 136,991</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 277,020</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net proceeds from capital share transactions</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 429,364</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 699,632,001</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 136,991</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 277,020</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Total increase</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 4,333,294</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 724,747,404</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 779,862</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 17,450,665</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Net Assets:</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Beginning of period</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 724,747,404</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 106,044,971</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 88,594,306</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">End of period</FONT></TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">729,080,698</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 724,747,404</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">106,824,833</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 106,044,971</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">End of period undistributed net investment income</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1,517,925</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2,864,550</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1,088,461</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1,711,227</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Commencement of investment operations for Limited Duration was July 30, 2003. This information includes the initial investment by BlackRock Funding, Inc. The other
Trust&#146;s statement is for a full year.</FONT>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">55</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_115"></A>

<P>
<B><FONT face="serif">FINANCIAL HIGHLIGHTS</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="37%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Six Months</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Ended</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=14><B><FONT size=2 face="serif">Year Ended October 31,</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">April 30, 2004</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD colspan=14><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">(unaudited)</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2003</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2002</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2001</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2000</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">1999</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">PER SHARE OPERATING</FONT></B></TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<B><FONT size=2 face="serif">PERFORMANCE:</FONT></B></TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net asset value, beginning of period</FONT></TD>
   <TD width="4%"><div align="right"><FONT size=2 face="serif">$</FONT></div></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif"> 16.02</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif"> 17.33</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif"> 16.05</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif"> 13.64</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif"> 13.64</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif"> 15.01</FONT></TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Investment operations:</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">0.46</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">1.28</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">2.01</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">1.17</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">0.91</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">0.93</FONT></TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net realized and unrealized gain (loss)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.28</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.40</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.04</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 2.01</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.09</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.45</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net increase (decrease) from</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">investment operations</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.18</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.12</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 2.05</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 3.18</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.82</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.52</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Dividends from net investment income</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.45</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.19</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.77</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.77</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.82</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.85</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net asset value, end of period</FONT></TD>
   <TD width="4%"><div align="right"><FONT size=2 face="serif">$</FONT></div></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif"> 15.75</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif"> 16.02</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif"> 17.33</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif"> 16.05</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif"> 13.64</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif"> 13.64</FONT></TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR align="right" size=2 noshade></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Market price, end of period</FONT></TD>
   <TD width="4%"><div align="right"><FONT size=2 face="serif">$</FONT></div></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif"> 15.65</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif"> 15.85</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif"> 16.18</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif"> 14.39</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif"> 11.94</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif"> 11.44</FONT></TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">TOTAL INVESTMENT RETURN</FONT></B><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1.53</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 5.32</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 18.34</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 27.66</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 12.11</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (7.68</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)%</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">RATIOS TO AVERAGE NET ASSETS:</FONT></B></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Total expenses</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">2.40</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">2.43</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">2.50</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">3.52</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">4.36</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">3.49</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net expenses</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">2.40</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">2.43</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">2.50</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">3.52</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">4.36</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">3.49</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net expenses excluding interest expense and</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">excise tax</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">1.10</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">1.18</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">1.16</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">1.16</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">1.31</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">1.03</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">5.78</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">7.54</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">12.22</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">7.93</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">6.83</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">6.58</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">SUPPLEMENTAL DATA:</FONT></B></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Average net assets (000)</FONT></TD>
   <TD width="4%"><div align="right"><FONT size=2 face="serif">$</FONT></div></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">47,706</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">49,882</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">48,731</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">43,701</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">39,425</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">41,909</FONT></TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Portfolio turnover</FONT></TD>
   <TD width="4%"><div align="right"></div></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">14</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">39</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">35</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">19</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">36</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">25</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net assets, end of period (000)</FONT></TD>
   <TD width="4%"><div align="right"><FONT size=2 face="serif">$</FONT></div></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">46,560</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">47,381</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">51,244</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">47,466</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">40,321</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">40,345</FONT></TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Reverse repurchase agreements outstanding,</FONT></TD>
   <TD width="4%"><div align="right"></div></TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">end of period (000)</FONT></TD>
   <TD width="4%"><div align="right"><FONT size=2 face="serif">$</FONT></div></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">22,997</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">19,953</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">23,669</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">13,373</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">18,850</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">16,304</FONT></TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Asset coverage, end of period</FONT><SUP><FONT size=2 face="serif">3</FONT></SUP></TD>
   <TD width="4%"><div align="right"><FONT size=2 face="serif">$</FONT></div></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">3,025</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">3,375</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">3,165</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">4,550</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">3,139</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="7%"><FONT size=2 face="serif">3,475</FONT></TD>
   <TD width="2%">&nbsp;</TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<TABLE>
<tr>
   <td valign="top" colspan="2"><SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current
market price on the last day of each year reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust&#146;s dividend reinvestment plan. Total investment returns do
not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.</FONT><BR><SUP><FONT size=1 face="serif">2</FONT></SUP>&nbsp;<FONT size=1
face="serif">Annualized.</FONT><BR><SUP><FONT size=1 face="serif">3</FONT></SUP>&nbsp;<FONT size=1 face="serif">Per $1,000 of reverse repurchase agreements outstanding.</FONT><BR></td>
</tr>
</TABLE>
<P>
<FONT size=1 face="serif">The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period
indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust&#146;s common shares.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">56</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_117"></A>

<P>
<B><FONT face="serif">FINANCIAL HIGHLIGHTS</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock Core Bond Trust (BHK)</FONT></B>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">For the period</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">Six Months Ended</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">November 30, 2001</FONT></B><B><SUP><FONT size=1 face="serif">1</FONT></SUP></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">April 30, 2004</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">Year Ended</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">through</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">(unaudited)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">October 31, 2003</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">October 31, 2002</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">PER SHARE OPERATING PERFORMANCE:</FONT></B></TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net asset value, beginning of period</FONT></TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">14.75</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">14.33</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="center"><div align="right"><FONT size=2 face="serif"> 14.33</FONT></div></TD>
   <TD><font size=2 face="serif">&nbsp; </font><sup><font size=2 face="serif">2</font></sup></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Investment operations:</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.52</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.83</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.99</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net realized and unrealized gain (loss)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.07</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.77</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.04</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net increase from investment operations</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.45</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1.60</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1.03</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Dividends and distributions:</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(0.40</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1.00</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1.00</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net realized gain</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.18</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.18</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Total dividends and distributions</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.58</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.18</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.00</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Capital charges with respect to issuance of shares</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.03</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net asset value, end of period</FONT></TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">14.62</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">14.75</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">14.33</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Market price, end of period</FONT></TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">13.09</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">13.57</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">13.82</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">TOTAL INVESTMENT RETURN</FONT></B><B><SUP><FONT size=2 face="serif">3</FONT></SUP></B></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.56</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 6.62</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.02</FONT></TD>
   <TD><FONT size=2 face="serif">)%</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">RATIOS TO AVERAGE NET ASSETS:</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Total expenses</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.22</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.05</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.04</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net expenses</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.22</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.05</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.04</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net expenses excluding interest expense</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.90</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.87</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.93</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.97</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.58</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7.67</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">SUPPLEMENTAL DATA:</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Average net assets (000)</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">404,739</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">401,049</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">380,277</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Portfolio turnover</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">165</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">161</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">73</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net assets, end of period (000)</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">395,101</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">398,540</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">387,238</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Reverse repurchase agreements outstanding, end of period (000)</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">118,009</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">91,668</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">165,215</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Asset coverage, end of period</FONT><SUP><FONT size=2 face="serif">5</FONT></SUP></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">4,348</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">5,348</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3,342</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<TABLE>
<tr>
   <td valign="top" colspan="2"><SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc.</FONT><BR><SUP><FONT
size=1 face="serif">2</FONT></SUP>&nbsp;<FONT size=1 face="serif">Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from the initial offering price of $15.00 per share.</FONT><BR><SUP><FONT size=1
face="serif">3</FONT></SUP>&nbsp;<FONT size=1 face="serif">Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current market price on the last day of each period
reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust&#146;s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Total
investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.</FONT><BR><SUP><FONT size=1 face="serif">4</FONT></SUP>&nbsp;<FONT size=1 face="serif">Annualized.</FONT><BR><SUP><FONT size=1
face="serif">5</FONT></SUP>&nbsp;<FONT size=1 face="serif">Per $1,000 of reverse repurchase agreements outstanding.</FONT><BR></td>
</tr>
</TABLE>
<P>
<FONT size=1 face="serif">The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period
indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust&#146;s common shares.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">57</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_119"></A>

<P>
<B><FONT face="serif">FINANCIAL HIGHLIGHTS</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock High Yield Trust (BHY)</FONT></B>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD width="35%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD width="2%" align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD width="2%" align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD width="2%" align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD width="2%" align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD width="2%" align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD width="3%" align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">For the period</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">December 23,</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Six Months</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">1998</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Ended</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=5><B><FONT size=2 face="serif">Year Ended October 31,</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">through</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">April 30, 2004</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD colspan=11><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">October 31,</FONT></B></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">(unaudited)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2003</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2002</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2001</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2000</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">1999</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">PER SHARE OPERATING</FONT></B></TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<B><FONT size=2 face="serif">PERFORMANCE:</FONT></B></TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net asset value, beginning of period</FONT></TD>
   <TD width="4%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="7%" align="right"><FONT size=2 face="serif"> 6.96</FONT></TD>
   <TD>&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="6%" align="right"><FONT size=2 face="serif"> 6.13</FONT></TD>
   <TD>&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="6%" align="right"><FONT size=2 face="serif"> 7.20</FONT></TD>
   <TD>&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="7%" align="right"><FONT size=2 face="serif"> 10.60</FONT></TD>
   <TD>&nbsp;</TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="5%" align="right"><FONT size=2 face="serif"> 13.58</FONT></TD>
   <TD>&nbsp;</TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="10%" align="right"><FONT size=2 face="serif"> 15.00</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Investment operations:</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.50</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.20</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.32</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.66</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.29</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net realized and unrealized gain (loss)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.81</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.89</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.98</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (3.13</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (3.02</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.52</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net increase (decrease) from investment</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">operations</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1.31</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1.95</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.22</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.81</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.36</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.23</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Dividends and distributions:</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(0.50</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1.07</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1.20</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1.48</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1.62</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(1.17</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Tax return of capital</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.05</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.09</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.11</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Total dividends and distributions</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.50</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.12</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.29</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.59</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.62</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.17</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Capital charges with respect to issuance</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">of shares</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.02</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net asset value, end of period</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 7.77</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 6.96</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 6.13</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 7.20</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 10.60</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 13.58</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Market price, end of period</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 9.56</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 10.25</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 8.68</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 9.18</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 11.88</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 12.50</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">TOTAL INVESTMENT RETURN</FONT></B><B><SUP><FONT size=2 face="serif">2</FONT></SUP></B></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.96</FONT></TD>
   <TD><FONT size=2 face="serif">)%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 32.87</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 7.97</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (11.31</FONT></TD>
   <TD><FONT size=2 face="serif">)%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 8.23</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (9.68</FONT></TD>
   <TD><FONT size=2 face="serif">)%</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">RATIOS TO AVERAGE NET ASSETS:</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Total expenses</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2.66</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">3</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.07</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.45</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.90</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.29</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.16</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">3</FONT></SUP></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net expenses</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2.65</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">3</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.07</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.45</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.90</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.29</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.08</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">3</FONT></SUP></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net expenses excluding interest expense</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.99</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">3</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2.22</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2.20</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2.03</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.99</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.98</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">3</FONT></SUP></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">13.76</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">3</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">16.37</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">16.29</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">14.23</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">13.12</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10.34</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">3</FONT></SUP></TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">SUPPLEMENTAL DATA:</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Average net assets (000)</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">47,389</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">41,326</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">46,751</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">58,553</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">79,602</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>

   <TD align="right"><FONT size=2 face="serif">92,116</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Portfolio turnover</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">29</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">30</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">147</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">71</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">92</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">121</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net assets, end of period (000)</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">49,722</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">44,438</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">38,953</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">45,520</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">66,867</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">85,652</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Loan outstanding, end of period (000)</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">19,250</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">19,250</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">19,250</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">23,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">33,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">41,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Asset coverage, end of period</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3,583</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3,308</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3,024</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2,983</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3,032</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3,094</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<TABLE>
<tr>
   <td valign="top" colspan="2"><SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Commencement of investment operations. This information includes the initial investment by BlackRock Financial Management,
Inc.</FONT><BR><SUP><FONT size=1 face="serif">2</FONT></SUP>&nbsp;<FONT size=1 face="serif">Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current market price on
the last day of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation, to be reinvested at prices obtained under the Trust&#146;s dividend reinvestment plan. Total investment return does not reflect
brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.</FONT><BR><SUP><FONT size=1 face="serif">3</FONT></SUP>&nbsp;<FONT size=1
face="serif">Annualized.</FONT><BR><SUP><FONT size=1 face="serif">4</FONT></SUP>&nbsp;<FONT size=1 face="serif">Per $1,000 of loan outstanding.</FONT><BR></td>
</tr>
</TABLE>
<P>
<FONT size=1 face="serif">The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period
indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust&#146;s common shares.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">58</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_121"></A>

<P>
<B><FONT face="serif">FINANCIAL HIGHLIGHTS</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock Income Opportunity Trust (BNA)</FONT></B>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD width="39%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD width="3%" align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD width="2%" align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD width="2%" align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD width="2%" align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD width="2%" align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD width="3%" align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Six Months</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Ended</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=14><B><FONT size=2 face="serif">Year Ended October 31,</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">April 30, 2004</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD colspan=14><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">(unaudited)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2003</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2002</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2001</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2000</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">1999</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD colspan=2><B><FONT size=2 face="serif">PER SHARE OPERATING PERFORMANCE:</FONT></B></TD>
   <TD width="10%" align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net asset value, beginning of period</FONT></TD>
   <TD width="2%" align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">11.93</FONT></TD>
   <TD>&nbsp;</TD>
   <TD width="1%" align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD width="6%" align="right"><FONT size=2 face="serif">11.83</FONT></TD>
   <TD>&nbsp;</TD>
   <TD width="1%" align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD width="6%" align="right"><FONT size=2 face="serif">11.47</FONT></TD>
   <TD>&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="6%" align="right"><FONT size=2 face="serif"> 11.03</FONT></TD>
   <TD>&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="6%" align="right"><FONT size=2 face="serif"> 11.45</FONT></TD>
   <TD>&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="6%" align="right"><FONT size=2 face="serif"> 11.88</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Investment operations:</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.39</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.84</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.15</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.87</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.70</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.84</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net realized and unrealized gain (loss)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.03</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.31</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.05</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.34</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.31</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.46</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net increase from investment operations</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.42</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1.15</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1.10</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1.21</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.39</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.38</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Dividends and distributions:</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(0.42</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(0.81</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(0.75</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(0.23</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(0.39</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(0.84</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net realized gains</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(0.24</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(0.04</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Tax return of capital</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.54</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.41</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Total dividends and distributions</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.42</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.05</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.75</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.77</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.84</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.84</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Increase resulting from Trust shares</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">repurchased</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.01</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.03</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.03</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net asset value, end of period</FONT></TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">11.93</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">11.93</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">11.83</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 11.47</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 11.03</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 11.45</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Market price, end of period</FONT></TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">10.61</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">10.95</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">10.50</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 10.41</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 9.75</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 9.69</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">TOTAL INVESTMENT RETURN</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.58</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 14.71</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 8.44</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 15.09</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 9.82</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 6.70</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">RATIOS TO AVERAGE NET ASSETS:</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Total expenses</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.08</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.29</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.40</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.62</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.76</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.18</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net expenses</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.08</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.29</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.40</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.62</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.76</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.18</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net expenses excluding interest expense</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.84</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.89</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.93</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.01</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.88</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.85</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.41</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.99</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10.04</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7.76</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.14</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7.14</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">SUPPLEMENTAL DATA:</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Average net assets (000)</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">416,882</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">413,543</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">394,495</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">388,478</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">396,157</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">426,283</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Portfolio turnover</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">16</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">46</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">153</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">83</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">82</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">186</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net assets, end of period (000)</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">410,882</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">410,981</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">407,480</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">397,756</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">383,651</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">406,178</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Reverse repurchase agreements outstanding,</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">end of period (000)</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">110,652</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">103,378</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">85,704</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">136,385</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">178,033</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">149,346</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Asset coverage, end of period</FONT><SUP><FONT size=2 face="serif">3</FONT></SUP></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">4,713</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">4,976</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">5,755</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3,916</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3,155</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3,720</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<TABLE>
<tr>
   <td valign="top" colspan="2"><SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current
market price on the last day of each year reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust&#146;s dividend reinvestment plan. Total investment return does
not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.</FONT><BR><SUP><FONT size=1 face="serif">2</FONT></SUP>&nbsp;<FONT size=1
face="serif">Annualized.</FONT><BR><SUP><FONT size=1 face="serif">3</FONT></SUP>&nbsp;<FONT size=1 face="serif">Per $1,000 of reverse repurchase agreements outstanding.</FONT><BR></td>
</tr>
</TABLE>
<P>
<FONT size=1 face="serif">The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period
indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust&#146;s common shares.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">59</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_123"></A>

<P>
<B><FONT face="serif">FINANCIAL HIGHLIGHTS</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock Income Trust Inc. (BKT)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="32%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Six Months</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Ended</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=14><B><FONT size=2 face="serif">Year Ended October 31,</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">April 30, 2004</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD colspan=14><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">(unaudited)</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2003</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2002</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2001</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">2000</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">1999</FONT></B></TD>
   <TD align="center" width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">PER SHARE OPERATING</FONT></B></TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<B><FONT size=2 face="serif">PERFORMANCE:</FONT></B></TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center" width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net asset value, beginning of period</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif"> 7.21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="center" width="1%"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">8.13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="center" width="1%"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">8.06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif"> 7.23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif"> 7.31</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif"> 7.94</FONT></TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Investment operations:</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">0.25</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">0.61</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">0.99</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">0.56</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">0.50</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">0.73</FONT></TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net realized and unrealized gain (loss)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.16</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.52</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.35</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.83</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.02</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.80</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net increase (decrease) from investment</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">operations</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.09</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.64</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1.39</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.48</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.07</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Dividends from net investment income</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.31</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.01</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.57</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.56</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.56</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.56</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net asset value, end of period</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif"> 6.99</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="center" width="1%"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">7.21</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="center" width="1%"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">8.13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif"> 8.06</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif"> 7.23</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif"> 7.31</FONT></TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Market price, end of period</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif"> 6.98</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="center" width="1%"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">7.71</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="center" width="1%"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">8.07</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif"> 7.26</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif"> 6.38</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif"> 6.13</FONT></TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">TOTAL INVESTMENT RETURN</FONT></B><B><SUP><FONT size=2 face="serif">1</FONT></SUP></B></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (5.58</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 15.41</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 15.35</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 23.23</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 14.01</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (4.04</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">)%</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">RATIOS TO AVERAGE NET ASSETS:</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Total expense</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">1.21</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">1.36</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">2.05</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">2.54</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">2.78</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">3.03</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net expenses</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">1.21</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">1.36</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">2.05</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">2.54</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">2.78</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">3.03</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net expenses excluding interest expense</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">0.97</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">1.02</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">1.03</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">1.03</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">1.05</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">1.01</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">6.97</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">8.18</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">12.28</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">7.43</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">7.11</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">9.54</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">SUPPLEMENTAL DATA:</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Average net assets (000)</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">451,572</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">472,676</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">506,533</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">470,185</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">448,027</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">482,685</FONT></TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Portfolio turnover</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">99</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">64</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">125</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">32</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">114</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="1%">&nbsp;</TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">144</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net assets, end of period (000)</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">444,519</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">457,301</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">511,385</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">506,764</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">454,510</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">459,399</FONT></TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Reverse repurchase agreements outstanding,</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%">&nbsp;</TD>
   <TD width="8%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">end of period (000)</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">129,733</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">121,767</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">205,792</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">118,634</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">64,460</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">186,451</FONT></TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Asset coverage, end of period</FONT><SUP><FONT size=2 face="serif">3</FONT></SUP></TD>
   <TD width="3%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">4,426</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">4,756</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">3,485</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">5,272</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">8,095</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="8%"><FONT size=2 face="serif">3,478</FONT></TD>
   <TD width="2%">&nbsp;</TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<TABLE>
<tr>
   <td valign="top" colspan="2"><SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current
market price on the last day of each year reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust&#146;s dividend reinvestment plan. Total investment returns do
not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.</FONT><BR><SUP><FONT size=1 face="serif">2</FONT></SUP>&nbsp;<FONT size=1
face="serif">Annualized.</FONT><BR><SUP><FONT size=1 face="serif">3</FONT></SUP>&nbsp;<FONT size=1 face="serif">Per $1,000 of reverse repurchase agreements outstanding.</FONT><BR></td>
</tr>
</TABLE>
<P>
<FONT size=1 face="serif">The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period
indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust&#146;s common shares.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">60</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_125"></A>

<P>
<B><FONT face="serif">FINANCIAL HIGHLIGHTS</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock Limited Duration Income Trust (BLW)</FONT></B>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2 width="10%"><B><FONT size=1 face="serif">Six Months</FONT></B></TD>
   <TD align="center" width="3%">&nbsp;</TD>
   <TD align="center" colspan=2 width="10%"><B><FONT size=1 face="serif">For the period</FONT></B></TD>
   <TD align="center" width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2 width="10%"><B><FONT size=1 face="serif">Ended</FONT></B></TD>
   <TD align="center" width="3%">&nbsp;</TD>
   <TD align="center" colspan=2 width="10%"><B><FONT size=1 face="serif">July 30, 2003</FONT></B><B><SUP><FONT size=1 face="serif">1</FONT></SUP></B></TD>
   <TD align="center" width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2 width="10%"><B><FONT size=1 face="serif">April 30, 2004</FONT></B></TD>
   <TD align="center" width="3%">&nbsp;</TD>
   <TD align="center" colspan=2 width="10%"><B><FONT size=1 face="serif">through</FONT></B></TD>
   <TD align="center" width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2 width="10%"><B><FONT size=1 face="serif">(unaudited)</FONT></B></TD>
   <TD align="center" width="3%">&nbsp;</TD>
   <TD align="center" colspan=2 width="10%"><B><FONT size=1 face="serif">October 31, 2003</FONT></B></TD>
   <TD align="center" width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">PER SHARE OPERATING PERFORMANCE:</FONT></B></TD>
   <TD align="center" colspan=2 width="10%">&nbsp;</TD>
   <TD align="center" width="3%">&nbsp;</TD>
   <TD align="center" colspan=2 width="10%">&nbsp;</TD>
   <TD align="center" width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net asset value, beginning of period</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif"> 19.74</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" width="2%"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">19.10</FONT></TD>
   <TD width="3%"><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Investment operations:</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">0.71</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">0.33</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net realized and unrealized gain</FONT></TD>
   <TD align="right" colspan=2 width="10%"><FONT size=2 face="serif"> 0.15</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" colspan=2 width="10%"><FONT size=2 face="serif"> 0.60</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net increase from investment operations</FONT></TD>
   <TD align="right" colspan=2 width="10%"><FONT size=2 face="serif"> 0.86</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" colspan=2 width="10%"><FONT size=2 face="serif"> 0.93</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Dividends from net investment income</FONT></TD>
   <TD align="right" colspan=2 width="10%"><FONT size=2 face="serif"> (0.75</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2 width="10%"><FONT size=2 face="serif"> (0.25</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Capital charges with respect to issuance of shares</FONT></TD>
   <TD align="right" colspan=2 width="10%"><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" colspan=2 width="10%"><FONT size=2 face="serif"> (0.04</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net asset value, end of period</FONT></TD>
   <TD align="center" width="2%"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">19.85</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" width="2%"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">19.74</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Market price, end of period</FONT></TD>
   <TD align="center" width="2%"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">18.82</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" width="2%"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">18.80</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">TOTAL INVESTMENT RETURN</FONT></B><B><SUP><FONT size=2 face="serif">3</FONT></SUP></B></TD>
   <TD align="right" colspan=2 width="10%"><FONT size=2 face="serif"> 4.05</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2 width="10%"><FONT size=2 face="serif"> (4.77</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">)%</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">RATIOS TO AVERAGE NET ASSETS:</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Total expenses</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">1.17</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">0.82</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net expenses</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">1.16</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">0.82</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net expenses excluding interest expense</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">0.88</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">0.79</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">7.16</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">6.87</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">SUPPLEMENTAL DATA:</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Average net assets (000)</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">735,079</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">686,655</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Portfolio turnover</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">40</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">%</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">127</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net assets, end of period (000)</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">729,081</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">724,747</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Reverse repurchase agreements outstanding, end of period (000)</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">239,748</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">118,993</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Asset coverage, end of period</FONT><SUP><FONT size=2 face="serif">5</FONT></SUP></TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">4,041</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">7,091</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<TABLE>
<tr>
   <td valign="top" colspan="2"><SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc.</FONT><BR><SUP><FONT
size=1 face="serif">2</FONT></SUP>&nbsp;<FONT size=1 face="serif">Net asset value, beginning of period, reflects a deduction of $0.90 per share sales charge from the initial offering price of $20.00 per share.</FONT><BR><SUP><FONT size=1
face="serif">3</FONT></SUP>&nbsp;<FONT size=1 face="serif">Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current market price on the last day of each period
reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust&#146;s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Total
investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.</FONT><BR><SUP><FONT size=1 face="serif">4</FONT></SUP>&nbsp;<FONT size=1 face="serif">Annualized.</FONT><BR><SUP><FONT size=1
face="serif">5</FONT></SUP>&nbsp;<FONT size=1 face="serif">Per $1,000 of reverse repurchase agreements outstanding.</FONT><BR></td>
</tr>
</TABLE>
<P>
<FONT size=1 face="serif">The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period
indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust&#146;s common shares.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">61</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_127"></A>

<P>
<B><FONT face="serif">FINANCIAL HIGHLIGHTS</FONT></B>
</P>
<P>
<B><FONT size=2 face="serif">BlackRock Strategic Bond Trust (BHD)</FONT></B>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD width="57%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">Six Months</FONT></B></TD>
   <TD width="3%" align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD width="2%" align="center">&nbsp;</TD>
   <TD colspan="3" align="center"><B><FONT size=1 face="serif">For the period</FONT></B></TD>
   <TD width="3%" align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">Ended</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD colspan="3" align="center"><B><FONT size=1 face="serif">February 28, 2002</FONT></B><B><SUP><FONT size=1 face="serif">1</FONT></SUP></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">April 30, 2004</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">Year Ended</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD colspan="3" align="center"><B><FONT size=1 face="serif">through</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">(unaudited)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=1 face="serif">October 31, 2003</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD colspan="3" align="center"><B><FONT size=1 face="serif">October 31, 2002</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan="3"><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">PER SHARE OPERATING PERFORMANCE:</FONT></B></TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD width="2%" align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net asset value, beginning of period</FONT></TD>
   <TD width="3%" align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD width="8%" align="right"><FONT size=2 face="serif">15.07</FONT></TD>
   <TD>&nbsp;</TD>
   <TD width="1%" align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD width="10%" align="right"><FONT size=2 face="serif">12.63</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif"> $ </FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">14.33</FONT></TD>
   <TD><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Investment operations:</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.74</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.59</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.98</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net realized and unrealized gain (loss)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.18</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 2.34</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.77</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net increase (decrease) from investment operations</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 0.92</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 3.93</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.79</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Dividends from net investment income</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.83</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (1.49</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.84</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Capital charges with respect to issuance of shares</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> &#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (0.07</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net asset value, end of period</FONT></TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">15.16</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">15.07</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">12.63</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Market price, end of period</FONT></TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">14.70</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">15.27</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">12.35</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">TOTAL INVESTMENT RETURN</FONT></B><B><SUP><FONT size=2 face="serif">3</FONT></SUP></B></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 1.62</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 37.36</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> (12.34</FONT></TD>
   <TD><FONT size=2 face="serif">)%</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">RATIOS TO AVERAGE NET ASSETS:</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Total expenses</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.67</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2.01</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2.57</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net expenses</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.39</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.71</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2.26</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net expenses excluding interest expense</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.94</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.01</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.25</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net investment income</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9.77</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11.32</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10.68</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">SUPPLEMENTAL DATA:</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Average net assets (000)</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">107,406</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">98,498</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">95,675</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Portfolio turnover</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">32</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">22</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Net assets, end of period (000)</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">106,825</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">106,045</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">88,594</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Reverse repurchase agreements outstanding, end of period (000)</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">31,390</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">45,872</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">44,223</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Asset coverage, end of period</FONT><SUP><FONT size=2 face="serif">5</FONT></SUP></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">4,403</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3,312</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3,003</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<TABLE>
<tr>
   <td valign="top" colspan="2"><SUP><FONT size=1 face="serif">1</FONT></SUP>&nbsp;<FONT size=1 face="serif">Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc.</FONT><BR><SUP><FONT
size=1 face="serif">2</FONT></SUP>&nbsp;<FONT size=1 face="serif">Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from the initial offering price of $15.00 per share.</FONT><BR><SUP><FONT size=1
face="serif">3</FONT></SUP>&nbsp;<FONT size=1 face="serif">Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current market price on the last day of each period
reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust&#146;s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Total
investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.</FONT><BR><SUP><FONT size=1 face="serif">4</FONT></SUP>&nbsp;<FONT size=1 face="serif">Annualized.</FONT><BR><SUP><FONT size=1
face="serif">5</FONT></SUP>&nbsp;<FONT size=1 face="serif">Per $1,000 of reverse repurchase agreements outstanding.</FONT><BR></td>
</tr>
</TABLE>
<P>
<FONT size=1 face="serif">The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period
indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust&#146;s common shares.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">See Notes to Financial Statements.</FONT>
</P>
<P align="center">
<FONT size=2 face="serif">62</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_129"></A>

<P>
<B><FONT size=4 face="serif">NOTES TO FINANCIAL STATEMENTS (unaudited)</FONT></B>
</P>
<hr noshade>
<P>
<B><FONT face="serif">Note 1. Organization<br>
 </FONT></B><FONT size=2 face="serif"> </FONT><b><font face="serif">&amp; Accounting Policies </font></b><font size=2 face="serif"></font></P>
<FONT size=2 face="serif">BlackRock Broad Investment Grade 2009 Term Trust Inc. (&#147;Broad Investment Grade&#148;), BlackRock Core<FONT size=2 face="serif">Bond Trust (&#147;Core Bond&#148;), BlackRock High Yield Trust (&#147;High Yield&#148;), BlackRock Income Opportunity Trust (&#147;Income Opportunity&#148;), BlackRock Income Trust Inc. (&#147;Income
Trust&#148;), BlackRock Limited Duration Income Trust (&#147;Limited Duration&#148;) and BlackRock Strategic Bond Trust (&#147;Strategic Bond&#148;) are registered as diversified, closed-end management investment companies under the Investment
Company Act of 1940, as amended. Broad Investment Grade, Income Opportunity and Income Trust are Maryland corporations. Core Bond, High Yield, Limited Duration and Strategic Bond are organized as Delaware statutory trusts.</FONT><p></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">On December 3, 1999, Broad Investment Grade transferred a substantial portion of its total assets to a 100% owned regulated investment company subsidiary called BCT Subsidiary, Inc. The
financial statements and these notes to the financial statements for Broad Investment Grade are consolidated and include the operations of both Broad Investment Grade and its wholly owned subsidiary after elimination of all intercompany transactions
and balances.</FONT></P>
<P>
<FONT size=2 face="serif">The following is a summary of significant accounting policies followed by the Trusts.</FONT></P>
<P>
<B><FONT size=2 face="serif">Securities Valuation: </FONT></B><FONT size=2 face="serif">The Trusts value most of their securities on the basis of current market quotations provided by dealers or pricing services selected under the supervision of
each Trust&#146;s Board (the &#147;Board&#148;) of Directors/Trustees (&#147;Trustees&#148;). In determining the value of a particular security, pricing services may use certain information with respect to transactions in such securities, quotations
from dealers, market transactions in comparable securities, various relationships observed in the market between securities, and calculated yield measures based on valuation technology commonly employed in the market for such securities.
Exchange-traded options are valued at their last sales price as of the close of options trading on applicable exchanges. In the absence of a last sale, options are valued at the average of the quoted bid and asked prices as of the close of business.
A futures contract is valued at the last sale price as of the close of the commodities exchange on which it trades. Short-term securities may be valued at amortized cost. Securities or other assets for which such current market quotations are not
readily available are valued at fair value as determined in good faith under procedures established by, and under the general supervision and responsibility of, each Trust&#146;s Board.</FONT></P>
<P>
<B><FONT size=2 face="serif">Securities Transactions and Investment Income: </FONT></B><FONT size=2 face="serif">Securities transactions are recorded on trade date. Realized and unrealized gains and losses are calculated on the identified cost
basis. Each Trust also records interest income on an accrual basis and amortizes premium and/or accretes discount on securities purchased using the interest method.</FONT></P>
<P>
<B><FONT size=2 face="serif">Repurchase Agreements: </FONT></B><FONT size=2 face="serif">In connection with transactions in repurchase agreements, a Trust&#146;s custodian takes possession of the underlying collateral securities, the value of which
at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market on a daily basis to ensure the
adequacy of the collateral. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by a Trust may be delayed or limited.
</FONT></P>
<P>
<B><FONT size=2 face="serif">Bank Loans: </FONT></B><FONT size=2 face="serif">In the process of buying, selling and holding bank loans, a Trust may receive and/or pay certain fees. These fees are in addition to interest payments received and may
include facility fees, commitment fees, amendment fees, commissions and prepayment penalty fees. When a Trust buys a bank loan it may receive a facility fee and when it sells a bank loan it may pay a facility fee. On an ongoing basis, a Trust may
receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a bank loan. In certain circumstances, a Trust may receive a prepayment penalty fee upon the prepayment of a bank loan by a borrower. Other fees
received by a Trust may include covenant waiver fees and covenant modification fees.</FONT></P>
<P>
<B><FONT size=2 face="serif">Option Writing/Purchasing: </FONT></B><FONT size=2 face="serif">When a Trust writes or purchases an option, an amount equal to the premium received or paid by the Trust is recorded as a liability or an asset and is
subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by the Trust on the expiration date as realized gains or losses.
The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or
received is added to the proceeds from the sale or cost of the purchase in determining whether a Trust has realized a gain or a loss on investment transactions. A Trust, as writer of an option, may have no control over whether the underlying
securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Options, when used by the Trusts, help in maintaining a targeted duration. Duration is a measure of the price sensitivity of a security or a portfolio to relative changes in interest rates. For
instance, a duration of &#147;one&#148; means that a portfolio&#146;s or a security&#146;s price would be expected to change by approximately one percent with a one percent change in interest rates, while a duration of five would imply that the
price would move approximately five percent in relation to a one percent change in interest rates. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Option writing and purchasing may be used by the Trusts as an attempt to manage the duration of positions, or collections of positions, so that changes in interest rates do not adversely affect
the targeted duration of the portfolio unexpectedly. A call option gives the purchaser of the option the right (but not obligation) to buy, and obligates the seller to sell (when the option is exercised), the underlying position at the exercise
price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying position at the exercise price at any time or at a specified time during the option
period. Put or call options can be purchased or sold to effectively help manage the targeted duration of the portfolio.</FONT></P>
<P align="center">
<FONT size=2 face="serif">63</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_131"></A>

<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">The main risk that is associated with purchasing options is that the option expires without being exercised. In this case, the option expires worthless and the premium paid for the option is
considered the loss. The risk associated with writing call options is that a Trust may forgo the opportunity for a profit if the market value of the underlying position increases and the option is exercised. The risk in writing put options is that a
Trust may incur a loss if the market value of the underlying position decreases and the option is exercised. In addition, as with futures contracts, the Trust risks not being able to enter into a closing transaction for the written option as the
result of an illiquid market. </FONT></P>
<P>
<B><FONT size=2 face="serif">Interest Rate Swaps: </FONT></B><FONT size=2 face="serif">In an interest rate swap, one investor pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional
principal amount for a specified period of time. Alternatively, an investor may pay a fixed rate and receive a floating rate. Interest rate swaps are efficient as asset/liability management tools. In more complex swaps, the notional principal amount
may decline (or amortize) over time. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">During the term of the swap, changes in the value of the swap are recognized as unrealized gains or losses by &#147;marking-to-market&#148; to reflect the market value of the swap. When the
swap is terminated, a Trust will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust&#146;s basis in the contract, if any. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">The Trusts are exposed to credit loss in the event of non-performance by the other party to the swap. However, the Trusts closely monitor swaps and do not anticipate non-performance by any
counterparty. </FONT></P>
<P>
<B><FONT size=2 face="serif">Swap Options: </FONT></B><FONT size=2 face="serif">Swap options are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap
option is granting or buying the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the option. Premiums received or paid from writing or purchasing options are recorded as liabilities or
assets and are subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by a Trust on the expiration date as realized
gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commission, is also treated as a realized gain or loss. If an option is exercised, the
premium paid or received is added to the proceeds from the sale or cost of the purchase in determining whether a Trust has realized a gain or loss on investment transactions. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">The main risk that is associated with purchasing swap options is that the swap option expires without being exercised. In this case, the option expires worthless and the premium paid for the
swap option is considered the loss. The main risk that is associated with the writing of a swap option is the market risk of an unfavorable change in the value of the interest rate swap underlying the written swap option. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Swap options may be used by the Trusts to manage the duration of the Trusts&#146; portfolios in a manner similar to more generic options described above. </FONT>
</P>
<P>
<B><FONT size=2 face="serif">Interest Rate Caps: </FONT></B><FONT size=2 face="serif">Interest rate caps are similar to interest rate swaps, except that one party agrees to pay a fee, while the other party pays the excess, if any, of a floating rate
over a specified fixed or floating rate. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Interest rate caps are intended to both manage the duration of the Trusts&#146; portfolios and their exposure to changes in short-term interest rates. Owning interest rate caps reduces a
portfolio&#146;s duration, making them less sensitive to changes in interest rates from a market value perspective. The effect on income involves protection from rising short-term interest rates, which the Trusts experience primarily in the form of
leverage. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">The Trusts are exposed to credit loss in the event of non-performance by the other party to the interest rate cap. However, the Trusts do not anticipate non-performance by any counterparty.
</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Transaction fees paid or received by the Trusts are recognized as assets or liabilities and amortized or accreted into interest expense or income over the life of the interest rate cap. The
asset or liability is subsequently adjusted to the current market value of the interest rate cap purchased or sold. Changes in the value of the interest rate cap are recognized as unrealized gains and losses. </FONT></P>
<P>
<B><FONT size=2 face="serif">Interest Rate Floors: </FONT></B><FONT size=2 face="serif">Interest rate floors are similar to interest rate swaps, except that one party agrees to pay a fee, while the other party pays the deficiency, if any, of a
floating rate under a specified fixed or floating rate. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Interest rate floors are used by the Trusts to both manage the duration of the portfolios and their exposure to changes in short-term interest rates. Selling interest rate floors reduces a
portfolio&#146;s duration, making it less sensitive to changes in interest rates from a market value perspective. The Trusts&#146; leverage provides extra income in a period of falling rates. Selling floors reduces some of that advantage by
partially monetizing it as an up front payment which the Trusts receive. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">The Trusts are exposed to credit loss in the event of non-performance by the other party to the interest rate floor. However, the Trusts do not anticipate non-performance by any counterparty.
</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Transactions fees paid or received by the Trusts are recognized as assets or liabilities and amortized or accreted into interest expense or income over the life of the interest rate floor. The
asset or liability is subsequently adjusted to the current market value of the interest rate floor purchased or sold. Changes in the value of the interest rate floor are recognized as unrealized gains and losses. </FONT></P>
<P>
<B><FONT size=2 face="serif">Financial Futures Contracts: </FONT></B><FONT size=2 face="serif">A futures contract is an agreement between two parties to buy and sell a financial instrument for a set price on a future date. Initial margin deposits
are made upon entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by &#147;marking-to-market&#148; on
a daily basis to reflect the market value of the contract at the end of each day&#146;s trading. Variation margin payments are made or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, a Trust
records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust&#146;s basis in the contract. </FONT></P>
<P align="center">
<FONT size=2 face="serif">64</FONT>
</P>

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<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Financial futures contracts, when used by the Trusts, help in maintaining a targeted duration. Futures contracts can be sold to effectively shorten an otherwise longer duration portfolio. In
the same sense, futures contracts can be purchased to lengthen a portfolio that is shorter than its duration target. Thus, by buying or selling futures contracts, the Trusts may attempt to manage the duration of positions so that changes in interest
rates do not change the duration of the portfolio unexpectedly. </FONT></P>
<P>
<B><FONT size=2 face="serif">Forward Currency Contracts: </FONT></B><FONT size=2 face="serif">The Trusts enter into forward currency contracts primarily to facilitate settlement of purchases and sales of foreign securities and to help manage the
overall exposure to foreign currency. A forward contract is a commitment to purchase or sell a foreign currency at a future date (usually the security transaction settlement date) at a negotiated forward rate. In the event that a security fails to
settle within the normal settlement period, the forward currency contract is renegotiated at a new rate. The gain or loss arising from the difference between the settlement value of the original and renegotiated forward contracts is isolated and is
included in net realized gains (losses) from foreign currency transactions. Risks may arise as a result of the potential inability of the counterparties to meet the terms of their contract.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Forward currency contracts, when used by the Trusts, help to manage the overall exposure to the foreign currency backing some of the investments held by the Trusts. Forward currency contracts
are not meant to be used to eliminate all of the exposure to the foreign currency, rather they allow the Trusts to limit their exposure to foreign currency within a narrow band to the objectives of the Trusts. </FONT></P>
<P>
<B><FONT size=2 face="serif">Foreign Currency Translation: </FONT></B><FONT size=2 face="serif">Foreign currency amounts are translated into United States dollars on the following basis: </FONT></P>
<TABLE width="100%">
<TR>
   <TD valign="top" width="5%"><FONT size=2 face="serif">(i)</FONT><BR>&nbsp;&nbsp;</TD>
   <td valign="top"><FONT size=2 face="serif">market value of investment securities, other assets and liabilities&#151;at the London 4:00 PM rates of exchange.</FONT><BR></td>
</tr>
<tr>
   <td valign="top" width="3%"><FONT size=2 face="serif">(ii)</FONT><BR>&nbsp;&nbsp;</td>
   <td valign="top"><FONT size=2 face="serif">purchases and sales of investment securities, income and expenses&#151;at the rates of exchange prevailing on the respective dates of such transactions.</FONT><BR></td>
</tr>
</TABLE>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">The Trusts isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of
securities held at period end. Similarly, the Trusts isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of portfolio securities sold during the period. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Net realized and unrealized foreign exchange gains and losses including realized foreign exchange gains and losses from sales and maturities of foreign portfolio securities, maturities of
foreign reverse repurchase agreements, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of interest and discount recorded on the
Trusts&#146; books and the U.S. dollar equivalent amounts actually received or paid and changes in unrealized foreign exchange gains and losses in the value of portfolio securities and other assets and liabilities arising as a result of changes in
the exchange rate. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin, including unanticipated movements in the value of
the foreign currency relative to the U.S. dollar. </FONT></P>
<P>
<B><FONT size=2 face="serif">Short Sales: </FONT></B><FONT size=2 face="serif">The Trusts may make short sales of securities as a method of managing potential price declines in similar securities owned. When a Trust makes a short sale, it may borrow
the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the sale. The Trusts may have to pay a fee to borrow the particular
securities and may be obligated to pay over any payments received on such borrowed securities. A gain, limited to the price at which the Trust sold the security short, or a loss, unlimited as to dollar amount, will be recognized upon the termination
of a short sale if the market price is greater or less than the proceeds originally received. </FONT></P>
<P>
<B><FONT size=2 face="serif">Security Lending: </FONT></B><FONT size=2 face="serif">The Trusts may lend their portfolio securities to qualified institutions. The loans are secured by collateral at least equal, at all times, to the market value of
the securities loaned. The Trusts may bear the risk of delay in recovery of, or even loss of rights in, the securities loaned should the borrower of the securities fail financially. The Trusts receive compensation for lending their securities in the
form of interest on the loan. The Trusts also continue to receive interest on the securities loaned, and any gain or loss in the market price of the securities loaned that may occur during the term of the loan will be for the accounts of the Trusts.
The Trusts did not enter into any security lending transactions during the period ended April 30, 2004.</FONT></P>
<P>
<B><FONT size=2 face="serif">Segregation: </FONT></B><FONT size=2 face="serif">In cases in which the Investment Company Act of 1940, as amended, and the interpretive positions of the Securities and Exchange Commission (&#147;SEC&#148;) require that
each Trust segregate assets in connection with certain investments (e.g., when-issued securities, reverse repurchase agreements or futures contracts), each Trust will, consistent with certain interpretive letters issued by the SEC, designate on its
books and records cash or other liquid debt securities having a market value at least equal to the amount that would otherwise be required to be physically segregated.</FONT></P>
<P>
<B><FONT size=2 face="serif">Federal Income Taxes: </FONT></B><FONT size=2 face="serif">It is each Trust&#146;s (excluding Limited Duration) intention to continue, and Limited Duration intends to elect, to be treated as a regulated investment
company under the Internal Revenue Code and to distribute sufficient amounts of their taxable income to shareholders. Therefore, no Federal income tax provisions are required. As part of a tax planning strategy, Broad Investment Grade may retain a
portion of its taxable income and pay an excise tax on the undistributed amounts.</FONT></P>
<P>
<B><FONT size=2 face="serif">Dividends and Distributions: </FONT></B><FONT size=2 face="serif">Each Trust declares and pays dividends and distributions to common shareholders monthly from net investment income, net realized short-term capital gains
and other sources, if necessary. Net long-term capital gains, if any, in excess of loss car-ryforwards may be distributed annually. Dividends and distributions are recorded on the ex-dividend date.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States
of America.</FONT></P>
<P>
<B><FONT size=2 face="serif">Estimates: </FONT></B><FONT size=2 face="serif">The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from these estimates.</FONT></P>
<P align="center">
<FONT size=2 face="serif">65</FONT>
</P>

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<A NAME="page_135"></A>

<P>
<B><FONT size=2 face="serif">Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: </FONT></B><FONT size=2 face="serif">Under the revised deferred compensation plan approved by each Trust&#146;s Board, non-interested
Trustees may elect to defer receipt of all or a portion of their annual compensation. As of January 1, 2003, the Board elected to require its non-interested members to defer a portion of their annual complex compensation pursuant to the plan.
Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of other BlackRock closed-end funds selected by the Trustees. This has the same economic effect for the Trustees as if the Trustees
had invested the deferred amounts in such Trusts.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">The deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of the Trust. Each Trust may, however, elect to invest in
common shares of those Trusts selected by the Trustees in order to match its deferred compensation obligations.</FONT></P>
<P>
<B><FONT face="serif">Note 2. Agreements </FONT></B><FONT size=2 face="serif">Each Trust has an Investment Management Agreement with BlackRock Advisors, Inc. (the &#147;Advisor&#148;), which is a wholly owned subsidiary of BlackRock, Inc. BlackRock
Financial Management, Inc., a wholly owned subsidiary of BlackRock, Inc., serves as sub-advisor to Core Bond, Limited Duration and Strategic Bond. BlackRock, Inc. is an indirect, majority owned subsidiary of The PNC Financial Services Group,
Inc.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Broad Investment Grade, High Yield, Income Opportunity and Income Trust each have an Administration Agreement with the Advisor. The investment management agreement for Core Bond, Limited
Duration and Strategic Bond covers both investment advisory and administration services.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Each Trust&#146;s investment advisory fee paid to the Advisor is computed weekly and payable monthly based on an annual rate, 0.55% for Broad Investment Grade, 0.60% for Income Opportunity and
0.65% for Income Trust, of each Trust&#146;s average net assets and 0.55% for Core Bond and Limited Duration, 1.05% for High Yield and 0.75% for Strategic Bond, of each Trust&#146;s average weekly managed assets. &#147;Managed assets&#148; means the
total assets of a Trust (including any assets attributable to any preferred shares that may be outstanding) minus the sum of accrued liabilities (other than debt representing financial leverage). The Advisor has voluntarily agreed to waive a portion
of the investment advisory fees or other expenses on Strategic Bond as a percentage of its average weekly managed assets as follows: 0.20% for the first 5 years of the Trust&#146;s operations, 0.15% in year 6, 0.10% in year 7 and 0.05% in year
8.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Pursuant to the agreements, the Advisor provides continuous supervision of the investment portfolio and pays the compensation of officers of each Trust who are affiliated persons of the
Advisor. The Advisor pays occupancy and certain clerical and accounting costs for each Trust. Each Trust bears all other costs and expenses, which include reimbursements to the Advisor for certain operational support services provided to each
Trust.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Pursuant to the terms of their custody agreements, Core Bond, High Yield, Income Opportunity, Income Trust, Limited Duration and Strategic Bond received earnings credits from its custodian for
positive cash balances maintained, which are used to offset custody fees.</FONT></P>
<P>
<B><FONT face="serif">Note 3. Portfolio </FONT></B><FONT size=2 face="serif"><b><font face="serif">Securities </font></b><font size=2
face="serif"></font>Purchases and sales of investment securities, other than short-term investments, dollar rolls and U.S. </FONT><FONT size=2
face="serif">government securities, for the period ended April 30, 2004, aggregated as follows:</FONT></P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif"> Trust</FONT></B></div></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Purchases</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2 align="center"><B><FONT size=2 face="serif"> Sales</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif"> Trust</FONT></B></div></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif"> Purchases</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif"> Sales</FONT></B></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="50" size=1 noshade></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR align="left" width="50" size=1 noshade></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Broad Investment Grade</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1,871,440</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2,722,890</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><FONT size=2 face="serif">Income Trust</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">291,679,176</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">184,805,384</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Core Bond</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">384,498,863</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">431,366,943</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><FONT size=2 face="serif">Limited Duration</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">435,285,251</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">364,673,592</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">High Yield</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">17,417,267</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">23,714,875</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><FONT size=2 face="serif">Strategic Bond</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11,186,521</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">22,963,058</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Opportunity</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">52,173,101</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">62,175,300</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD colspan=17><FONT size=2 face="serif">Purchases and sales of U.S. government securities for the period ended April 30, 2004, aggregated as follows:</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif"> Trust</FONT></B></TD>
   <TD colspan=2><div align="center"><B><FONT size=2 face="serif"> Purchases</FONT></B></div></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2 align="right"><div align="center"><B><FONT size=2 face="serif"> Sales</FONT></B></div></TD>
   <TD align="right">&nbsp;</TD>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif"> Trust</FONT></B></div></TD>
   <TD align="center">&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Purchases</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Sales</FONT></B></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="50" size=1 noshade></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR align="left" width="50" size=1 noshade></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Broad Investment Grade</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">6,215,742</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3,516,882</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><FONT size=2 face="serif">Income Trust</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">440,194,910</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">370,761,583</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Core Bond</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">758,355,523</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">622,329,392</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><FONT size=2 face="serif">Limited Duration</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">77,101,568</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">69,967,047</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">High Yield</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><FONT size=2 face="serif">Strategic Bond</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">423,645</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Opportunity</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">65,595,070</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">16,970,781</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Each Trust may from time to time purchase in the secondary market certain mortgage pass-through securities packaged or master serviced by affiliates or mortgage related securities containing
loans or mortgages originated by PNC Bank or its affiliates, including Midland Loan Services, Inc., each of which is an affiliate of BlackRock Advisors, Inc. It is possible under certain circumstances, that PNC Mortgage Securities Corp. or its
affiliates, including Midland Loan Services, Inc., could have interests that are in conflict with the holders of these mortgage backed securities, and such holders could have rights against PNC Mortgage Securities Corp. or its affiliates, including
Midland Loan Services, Inc.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">At April 30, 2004, the total cost of securities for Federal income tax purposes and the aggregate gross unrealized appreciation and depreciation for securities held by each Trust were as
follows:</FONT></P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif"> Trust</FONT></B></div></TD>
   <TD align="center" colspan=2 width="16%"><B><FONT size=2 face="serif"> Cost</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" colspan=2 width="16%"><B><FONT size=2 face="serif"> Appreciation</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" colspan=2 width="16%"><B><FONT size=2 face="serif"> Depreciation</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" colspan=2 width="16%"><B><FONT size=2 face="serif"> Net</FONT></B></TD>
   <TD align="center" width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="50" size=1 noshade></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Broad Investment Grade</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">68,043,776</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">3,154,801</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">2,326,214</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">828,587</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Core Bond</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">649,011,177</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">7,278,016</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">9,029,860</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">(1,751,844</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">High Yield</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">74,957,036</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">5,089,080</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">12,547,499</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">(7,458,419</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Opportunity</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">534,449,954</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">20,261,986</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">5,504,854</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">14,757,132</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Trust</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">776,083,205</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">17,408,834</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">34,520,133</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">(17,111,299</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Limited Duration</FONT></TD>
   <TD align="right" colspan=2 width="16%"><FONT size=2 face="serif">1,068,263,202</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">28,137,737</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">4,347,313</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">23,790,424</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Strategic Bond</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">128,137,033</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">135,514,089</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">128,137,033</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="15%"><FONT size=2 face="serif">7,377,056</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">66</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_137"></A>

<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">For Federal income tax purposes, the following Trusts had capital loss carryforwards as of their last respective tax year end. These amounts may be used to offset future realized capital gains,
if any:</FONT>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD width="25%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Capital Loss</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%" align="center">&nbsp;</TD>
   <TD width="2%" align="center">&nbsp;</TD>
   <TD width="22%" align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Capital Loss</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="7%" align="center">&nbsp;</TD>
  </TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif"> Trust</FONT></B></div></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Carryforwards Amount</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Expires</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif"> Trust</FONT></B></div></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Carryforwards Amount</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Expires</FONT></B></TD>
  </TR>
<TR>
   <TD><HR align="left" width="50" size=1 noshade></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR align="left" width="50" size=1 noshade></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Broad Investment Grade</FONT></TD>
   <TD width="5%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="12%" align="right"><FONT size=2 face="serif">85,817</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">2008</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><FONT size=2 face="serif">Income Opportunity</FONT></TD>
   <TD width="5%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="11%" align="right"><FONT size=2 face="serif">1,978,381</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">2011</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="right"><font size=2 face="serif"> 131,829</font></div></TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"><font size=2 face="serif">2011</font></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">Income Trust</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">27,373,194</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">2004</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="left"><FONT size=2 face="serif"> $</FONT></div></TD>
   <TD align="right"><FONT size=2 face="serif">217,646</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">High Yield</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3,443,603</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">2007</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,352,206</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">2008</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,270,311</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">2008</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">13,940,898</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">2009</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">15,159,280</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">2009</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 21,960,613</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">2011</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8,468,860</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">2010</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><font size=2 face="serif">4,771,417</font></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><font size=2 face="serif">2011</font></TD>
   <TD align="center">&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">97,734,863</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="left"><FONT size=2 face="serif">$ </FONT></div></TD>
   <TD align="right"><font size=2 face="serif">35,113,471</font></TD>
   <TD>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><hr noshade size=2></TD>
   <TD><hr noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">Strategic Bond</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">316,708</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">2010</FONT></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="left"><FONT size=2 face="serif"> </FONT></div></TD>
   <TD align="right">&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="right"><font size=2 face="serif"> 1,177,052</font></div></TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"><font size=2 face="serif">2011</font></div></TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="left"><FONT size=2 face="serif"> $</FONT></div></TD>
   <TD align="right"><FONT size=2 face="serif">1,493,760</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
  </TR>
</TABLE>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Accordingly, no capital gain distributions are expected to be paid to shareholders of a Trust until that Trust has net realized capital gains in excess of its carryforward amounts.</FONT>
</P>
<P>
<FONT size=2 face="serif">Details of open financial futures contracts at April 30, 2004 were as follows:</FONT>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Unrealized</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">Number of</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">Expiration</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value at</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value at</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Appreciation</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Contracts</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Type</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Date</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Trade Date</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> April 30, 2004</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">(Depreciation) </FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Long Position:</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Broad Investment Grade</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">56</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">10 Yr. U.S. T-Note</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">June &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">6,362,248</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">6,188,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">(174,248</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">30 Yr. U.S. T-Bond</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">June &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">562,868</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">535,467</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">(27,401</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> (201,649</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Core Bond</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1,041</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">30 Yr. U.S. T-Bond</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">June &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">116,513,310</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">111,484,497</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> (5,028,813</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Opportunity</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">687</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">10 Yr. U.S. T-Note</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">June &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">79,397,905</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">75,913,436</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> (3,484,469</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Short Position:</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Core Bond</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1,825</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">5 Yr. U.S. T-Note</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">June &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">204,393,603</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">200,635,938</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,757,665</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">481</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">10 Yr. U.S. T-Note</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">June &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">54,317,493</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">53,150,500</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,166,993</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">30 Yr. U.S. T-Bond</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Sept. &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">221,183</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">211,437</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,746</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">17</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Euro Dollar</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">June &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,269,884</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,272,187</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">(2,303</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 4,932,101</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Opportunity</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">977</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><FONT size=2 face="serif">5 Yr. U.S. T-Note</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">June &#146;04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">108,857,462</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">107,408,937</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,448,525</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">59</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><FONT size=2 face="serif">30 Yr. U.S. T-Bond</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">Sept. &#146;04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,527,247</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,237,406</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">289,841</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 1,738,366</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Trust</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">255</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">5 Yr. U.S. T-Note</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">June &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">28,878,125</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">28,034,062</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">844,063</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">255</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">5 Yr. U.S. T-Note</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">June &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">28,421,248</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">27,308,906</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,112,342</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">193</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">10 Yr. U.S. T-Note</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">June &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">21,943,462</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">21,326,500</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">616,962</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">61</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">30 Yr. U.S. T-Bond</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Sept. &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,748,514</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,448,844</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">299,670</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">30</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Euro Dollar</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Mar. &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,266,638</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,299,375</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(32,737</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">25</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Euro Dollar</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Mar. &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,992,406</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,993,125</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(719</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">30</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Euro Dollar</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">June &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,346,138</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,400,250</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(54,112</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">25</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Euro Dollar</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">June &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,036,781</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,054,375</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(17,594</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">30</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Euro Dollar</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Sept. &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,316,512</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,369,875</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(53,363</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">25</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Euro Dollar</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Sept. &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,021,156</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,030,312</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(9,156</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">30</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Euro Dollar</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Dec. &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,289,137</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,335,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(45,863</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">25</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Euro Dollar</FONT></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Dec. &#146;04</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,006,156</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,009,719</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">(3,563</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> 2,655,930</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<P>
<FONT size=2 face="serif">Details of open forward currency contracts in Core Bond at April 30, 2004, were as follows:</FONT>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" width="13%">&nbsp;</TD>
   <TD align="center" width="3%">&nbsp;</TD>
   <TD align="center" width="16%"><B><FONT size=2 face="serif">Contract to</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" colspan=3 width="13%"><B><FONT size=2 face="serif">Value at</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" colspan=2 width="14%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" colspan=2 width="10%"><B><FONT size=2 face="serif">Unrealized</FONT></B></TD>
   <TD align="center" width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" width="13%"><B><FONT size=2 face="serif">Settlement</FONT></B></TD>
   <TD align="center" width="3%">&nbsp;</TD>
   <TD align="center" width="16%"><B><FONT size=2 face="serif">Purchase/</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" colspan=3 width="13%"><B><FONT size=2 face="serif">Settlement</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" colspan=2 width="14%"><B><FONT size=2 face="serif">Value at</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" colspan=2 width="10%"><B><FONT size=2 face="serif">Appreciation</FONT></B></TD>
   <TD align="center" width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif"> Foreign Currency</FONT></B></div></TD>
   <TD align="center" width="13%"><B><FONT size=2 face="serif"> Date</FONT></B></TD>
   <TD align="center" width="3%">&nbsp;</TD>
   <TD align="center" width="16%"><B><FONT size=2 face="serif"> Receive</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" colspan=3 width="13%"><B><FONT size=2 face="serif"> Date</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" colspan=2 width="14%"><B><FONT size=2 face="serif"> April 30, 2004</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" colspan=2 width="10%"><B><FONT size=2 face="serif"> (Depreciation)</FONT></B></TD>
   <TD align="center" width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="100" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Bought:</FONT></B></TD>
   <TD align="center" width="13%">&nbsp;</TD>
   <TD align="center" width="3%">&nbsp;</TD>
   <TD align="center" width="16%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" colspan=2 width="3%">&nbsp;</TD>
   <TD align="center" width="11%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" colspan=2 width="14%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" colspan=2 width="10%">&nbsp;</TD>
   <TD align="center" width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Euro</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">07/23/04</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="16%"><FONT size=2 face="serif">&#128; 6,669,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">6,756,881</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">6,782,548</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">25,667</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Swedish Krona</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">07/22/04</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="16%"><FONT size=2 face="serif">kr 66,000</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">8,511</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">8,623</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" colspan=2 width="10%"><FONT size=2 face="serif"> 112</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="16%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" colspan=2 width="10%"><FONT size=2 face="serif"> 25,779</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Sold:</FONT></B></TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="16%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="9%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Euro</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">07/23/04</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="16%"><FONT size=2 face="serif">&#128; 10,113,468</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" colspan=2 width="12%"><FONT size=2 face="serif">12,025,015</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">12,100,032</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">(75,017</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">British Pound Sterling</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">07/21/04</FONT></TD>
   <TD align="right" width="3%">&nbsp;</TD>
   <TD align="right" width="16%"><FONT size=2 face="serif">&pound;3,978,528</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">7,086,953</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">7,005,636</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="9%"><FONT size=2 face="serif">81,317</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Swedish Krona</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">07/22/04</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="16%"><FONT size=2 face="serif">kr 38,660,864</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">5,073,151</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">5,051,639</FONT></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" colspan=2 width="10%"><FONT size=2 face="serif"> 21,512</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="16%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" colspan=2 width="10%"><FONT size=2 face="serif"> 27,812</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">67</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_139"></A>

<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Income Trust held one interest rate floor. Under the agreement, Income Trust pays the excess, if any, of a fixed rate over a floating rate. Income Trust received a transaction fee for the
floor. Transaction fees are amortized through the termination of the agreement. Details of the interest rate floor held at April 30, 2004, were as follows:</FONT></P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD colspan=2><div align="center"><B><FONT size=2 face="serif">Notional</FONT></B></div></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Value at</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD colspan=2><div align="center"><B><FONT size=2 face="serif">Amount</FONT></B></div></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">Variable</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">Floating</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">Termination</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Amortized</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">April 30,</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Unrealized</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD align="right" colspan=2><div align="center"><B><FONT size=2 face="serif"> (000)</FONT></B></div></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Rate</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Rate</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Date</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Cost</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> 2004</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> (Depreciation)</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">16,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.00</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD><div align="center"><FONT size=2 face="serif">1-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">01/25/05</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">(238,500</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="center"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">(449,871</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right"><FONT size=2 face="serif"> $</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">(211,371</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<P>
<FONT size=2 face="serif">Details of open interest rate swaps at April 30, 2004, were as follows:</FONT>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD width="25%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Notional</FONT></B></TD>
   <TD width="3%" align="center">&nbsp;</TD>
   <TD width="11%" align="center">&nbsp;</TD>
   <TD width="3%" align="center">&nbsp;</TD>
   <TD width="15%" align="center">&nbsp;</TD>
   <TD width="3%" align="center">&nbsp;</TD>
   <TD width="12%" align="center">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Unrealized</FONT></B></TD>
   <TD width="1%" align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Amount</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">Fixed</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">Floating</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">Termination</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Appreciation</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif"> Trust</FONT></B></div></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> (000)</FONT></B></TD>
   <TD align="center"><B></B></TD>
   <TD align="center"><B><FONT size=2 face="serif"> Rate</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Rate</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Date</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">(Depreciation) </FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="50" size=1 noshade></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Core Bond</FONT></TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="9%" align="right"><FONT size=2 face="serif">41,600</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2.55% (a)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/23/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="12%" align="right"><FONT size=2 face="serif">(77,237</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">25,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2.635% (a)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/14/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(118,939</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">50,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.00% (b)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/16/07</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">335,342</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,700</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.52% (a)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9/26/08</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(81,657</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,400</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.412% (b)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2/17/14</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">229,383</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">19,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.889% (b)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/22/14</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">121,244</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,400</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.82% (b)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10/27/24</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">(53,355</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="left"><FONT size=2 face="serif"> $</FONT></div></TD>
   <TD align="right"><FONT size=2 face="serif">354,781</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Opportunity</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">50,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2.635% (a)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/14/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">(237,878</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">48,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.50% (a)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2/2/07</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(232,487</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">50,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.00% (b)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/16/07</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">335,342</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.52% (a)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9/26/08</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(114,414</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,700</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.412% (b)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2/14/14</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">242,127</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.23% (b)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11/4/21</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">205,668</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,800</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.82% (b)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10/27/24</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">(58,204</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="left"><FONT size=2 face="serif"> $</FONT></div></TD>
   <TD align="right"><FONT size=2 face="serif">140,154</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Trust</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">62,400</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2.55% (a)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/23/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">(115,856</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">50,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2.635% (b)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/14/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(237,878</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">24,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.55% (a)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10/24/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">336,085</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">50,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.00% (a)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/16/07</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">335,342</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11,200</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.52% (a)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9/26/08</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(160,179</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">19,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.889% (b)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/22/14</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">121,244</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,500</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.58% (b)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12/7/15</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">45,675</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">25,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.23% (b)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/15/23</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">930,203</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,100</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.82% (b)</FONT></TD>
   <TD align="right">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">3-month LIBOR</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10/27/24</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">(61,840</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="left"><FONT size=2 face="serif"> $</FONT></div></TD>
   <TD align="right"><FONT size=2 face="serif">1,192,796</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<hr align="left" width="150" size="1" noshade>
<FONT size=1 face="serif">(a) Trust pays floating interest rate and receives fixed rate. <br>
(b) Trust pays fixed interest rate and receives floating rate.</FONT>
<P align="left">
<FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Transaction in options written during the period ended April 30, 2004, were as follows:</FONT>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD width="73%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Contracts/</FONT></B></TD>
   <TD width="1%" align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD width="1%" align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Notional Amount</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Premium</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Trust </FONT></B></div></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> (000)</FONT></B></TD>
   <TD align="center"><B></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Received</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="50" size=1 noshade></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Core Bond</FONT></B></TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Options outstanding at October 31, 2003</FONT></TD>
   <TD width="3%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="10%" align="right"><FONT size=2 face="serif">105,708</FONT></TD>
   <TD>&nbsp;</TD>
   <TD width="1%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="11%" align="right"><FONT size=2 face="serif">2,069,401</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Options written</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">287,348</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,408,910</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Options expired</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(44</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">(49,424</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Options terminated in closing purchase transactions</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">(286,954</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">(2,524,660</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Options outstanding at April 30, 2004</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">106,058</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">1,904,227</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Income Opportunity</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Options outstanding at October 31, 2003</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">123,340</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2,432,578</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Options written</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,101</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,493,653</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Options expired</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Options terminated in closing purchase transactions</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">(1,030</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">(1,267,896</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Options outstanding at April 30, 2004</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">123,411</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">2,658,335</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Income Trust</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Options outstanding at October 31, 2003</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">150,485</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">3,054,224</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Options written</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">454,402</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,122,902</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Options expired</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Options terminated in closing purchase transactions</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">(426,330</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">(3,764,104</FONT></TD>
   <TD><FONT size=2 face="serif">)</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Options outstanding at April 30, 2004</FONT></TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">178,557</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">4,413,022</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=2></TD>
   <TD><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">68</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_141"></A>

<P>
<B><FONT face="serif">Note 4. Borrowings        </FONT></B><B><FONT size=2 face="serif">Reverse <br>
Repurchase Agreements: </FONT></B><FONT size=2 face="serif">The Trusts may enter into reverse repurchase agreements with qualified third-party broker-dealers as
determined by and under the direction of the Trusts&#146; Board. Interest on the value of reverse repurchase agreements issued and outstanding is based upon competitive market rates at the time of issuance. At the time a Trust enters into a reverse
repurchase agreement, it will establish and maintain a segregated account with the lender, containing liquid investment grade securities having a value not less than the repurchase price, including accrued interest of the reverse repurchase
agreement. Details of open reverse repurchase agreements at April 30, 2004 were as follows (please see Corresponding Underlying Collateral Chart on pages 70-71):</FONT></P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">Underlying</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">Trade</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">Maturity</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Net Closing</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Trust </FONT></B></div></TD>
   <TD align="center"><B><FONT size=2 face="serif"> Collateral</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Counter Party</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Rate</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Date</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Date</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Amount</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Par</FONT></B></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="50" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Broad Investment Grade</FONT></TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">1</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.95</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">4/30/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/3/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">5,555,440</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">5,555,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">2</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.03</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/23/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/14/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">17,452,480</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">17,442,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 22,997,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Core Bond</FONT></TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">3</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.90</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/26/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/4/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">21,828,465</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">21,824,100</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">4</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.97</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/26/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/4/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">15,689,031</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">15,685,650</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">5</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.50</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/26/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/4/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,975,624</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,974,738</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">6</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.30</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/26/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/4/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">24,287,557</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">24,285,937</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">7</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.00</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/26/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/6/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,661,503</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,659,375</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">8</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.02</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/13/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/7/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12,091,216</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12,083,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">9</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/13/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/7/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,091,076</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,088,188</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">10</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.01</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/22/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/11/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">24,420,536</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">24,407,525</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 118,008,513</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Opportunity</FONT></TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">11</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.95</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/30/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/3/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">991,328</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">991,250</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">12</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.10</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/26/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/4/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">17,968,524</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">17,968,125</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">13</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.88</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/26/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/4/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">18,519,775</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">18,516,175</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">14</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.90</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/26/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/4/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,193,939</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,192,500</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">15</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/13/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/7/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,627,724</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,623,750</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">16</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.17</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/30/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/7/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10,222,325</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10,220,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">17</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.90</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/22/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/11/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">13,976,511</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">13,969,875</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">18</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.75</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/22/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/11/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,793,960</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,793,250</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">19</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.08</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/13/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/13/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">34,407,939</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">34,377,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 110,651,925</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Trust</FONT></TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">20</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.75</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/26/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/4/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">32,375,808</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">32,370,413</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">21</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.10</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/26/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/4/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">17,968,524</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">17,968,125</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">22</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.875</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/26/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/4/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,024,254</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,022,500</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">23</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.99</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/26/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/6/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,581,685</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,581,250</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">24</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/8/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/11/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12,790,416</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12,778,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">25</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/8/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/13/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,869,101</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,861,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">26</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.02</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/15/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/14/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,008,720</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,006,250</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">27</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.75</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/15/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/14/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,930,519</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,928,750</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">28</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.95</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/15/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/14/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,171,020</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,170,125</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">29</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.03</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/23/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/14/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">31,644,001</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">31,625,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">30</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.90</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/23/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/14/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8,013,830</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8,009,625</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">31</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.03</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/23/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/14/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,412,723</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">1,411,875</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 129,732,913</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Limited Duration</FONT></TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">32</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.50</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/29/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/3/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,562,094</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,561,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">33</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.50</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/30/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/3/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,664,581</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,644,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">34</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.88</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/26/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/4/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">76,377,433</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">76,362,500</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">35</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.88</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/26/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/4/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8,683,338</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8,681,650</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">36</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.15</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/8/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/6/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">28,386,367</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">28,361,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">37</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.20</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/8/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/6/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12,775,913</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12,764,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">38</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/8/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/11/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,850,797</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,849,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">39</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.03</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/22/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/11/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">20,007,120</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">19,996,250</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">40</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.20</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/22/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/11/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">31,683,053</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">31,663,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">41</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.08</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/13/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/13/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,242,916</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,240,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">42</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.08</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/14/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/13/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,236,683</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,233,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">43</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.50</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/20/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/17/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">35,851,287</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">35,811,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">44</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.50</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/23/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/17/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,587,582</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">5,582,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 239,748,400</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Strategic Bond</FONT></TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">45</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.96</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/28/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/3/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">998,883</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">998,750</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">46</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.02</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/20/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/17/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,753,771</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,745,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">47</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.20</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/20/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/17/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">16,233,597</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">16,219,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">48</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.50</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/20/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/17/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,154,545</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,151,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">49</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.50</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/23/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/17/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">304,304</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">304,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="right"><div align="center"><FONT size=2 face="serif">50</FONT></div></TD>
   <TD align="right"><div align="center"></div></TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.50</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/30/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/17/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">972,563</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">971,875</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 31,389,625</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">69</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_143"></A>

<P>
<FONT size=2 face="serif">Details of underlying collateral for open reverse repurchase agreements at April 30, 2004 were as follows:</FONT>
</P>
<P align="center">
<B><FONT size=2 face="serif"><u>Corresponding Underlying Collateral</u></FONT></B>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">Reverse</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">Repurchase</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">Maturity</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Original</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Current</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Trust </FONT></B></div></TD>
   <TD align="center"><B><FONT size=2 face="serif"> Agreement</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Description</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Rate</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Date</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Face</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Face</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Market Value</FONT></B></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="50" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Broad Investment</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Grade</FONT></TD>
   <TD align="center"><FONT size=2 face="serif">1</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.38</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">8/12/12</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">5,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">5,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">5,511,165</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">2</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Bonds</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.00</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11/15/09</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">21,600,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">21,600,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">17,330,350</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 22,841,515</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Core Bond</FONT></TD>
   <TD align="center"><FONT size=2 face="serif">3</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Bonds</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.375</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2/15/31</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">21,240,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">21,240,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">21,512,084</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">4</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Bonds</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10.375</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11/15/12</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,310,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,310,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,582,950</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">4</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Bonds</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8.13</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/15/19</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,600,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,600,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8,703,235</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">5</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2.25</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2/15/07</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8,035,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8,035,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,927,010</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">6</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.125</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/15/09</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">24,750,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">24,750,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">24,204,758</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">7</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Federal Home Loan Mortgage Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.875</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11/10/08</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,507,365</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">8</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Bonds</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8.00</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11/15/21</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,375,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,375,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,446,036</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">8</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Bonds</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.75</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/15/26</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,145,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,145,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,249,422</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">9</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Federal National Mortgage Assoc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.25</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/15/07</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,725,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,725,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,946,489</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">10</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Bonds</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8.125</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/15/19</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12,750,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12,750,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">16,813,068</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">10</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Bonds</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.25</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/15/23</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,505,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,505,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,006,181</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">10</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Bonds</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.00</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2/15/26</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">2,162,812</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 116,061,410</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Opportunity</FONT></TD>
   <TD align="center"><FONT size=2 face="serif">11</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.25</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/15/13</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">983,590</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">12</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.00</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2/15/14</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">18,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">18,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">17,774,430</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">13</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.25</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11/15/13</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">18,470,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">18,470,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">18,123,688</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">14</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.375</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2/15/31</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,089,670</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">15</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Federal Home Loan Mortgage Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.875</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9/15/10</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,545,520</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">15</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Federal National Mortgage Assoc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.375</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9/15/12</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">969,660</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">16</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Residential Funding Securities Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8.50</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/25/33</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,562,714</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10,536,916</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">17</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2.00</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/15/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,300,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,300,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,237,513</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">17</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.375</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2/15/31</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,557,645</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">18</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.00</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11/15/12</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,800,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,800,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,753,171</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">19</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Federal Home Loan Mortgage Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.50</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/1/32</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">30,236,206</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,419,666</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,686,206</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">19</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Federal National Mortgage Assoc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.99</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1/1/33</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">19,464,674</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">13,739,986</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">13,718,552</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">19</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Federal National Mortgage Assoc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.50</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1/1/33</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,922,569</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,450,115</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,443,173</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">19</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.50</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1/1/33</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12,840,919</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10,141,983</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">10,126,162</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 110,545,896</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Trust</FONT></TD>
   <TD align="center"><FONT size=2 face="serif">20</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.25</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/15/08</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">32,330,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">32,330,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">32,130,459</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">21</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.00</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2/15/14</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">18,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">18,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">17,774,430</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">22</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.25</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11/15/13</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8,831,250</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">23</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Bonds</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.00</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11/15/24</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,570,530</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">24</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Federal National Mortgage Assoc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.50</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9/1/17</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">28,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12,594,365</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12,921,063</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">25</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Federal National Mortgage Assoc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.00</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/1/32</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">24,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,813,542</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,991,769</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">27</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.875</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2/15/13</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,885,391</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">28</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.375</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/15/12</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,150,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,150,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,152,335</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">29</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Resolution Funding Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8.875</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/15/30</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">13,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">13,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,837,120</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">29</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Bonds</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.00</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11/15/24</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">100,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">100,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">31,410,600</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">30</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.25</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11/15/13</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,950,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,950,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,800,938</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">31</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Bonds</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.00</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11/15/24</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">1,413,477</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 128,719,362</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Limited</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Duration</FONT></TD>
   <TD align="center"><FONT size=2 face="serif">32</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">HYDI 100</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.40</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6/20/08</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,700,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,700,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,767,375</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">33</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">HYDI 101</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9.00</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6/20/08</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,398,148</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,674,803</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">34</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.625</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10/31/05</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">30,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">30,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">29,845,200</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">34</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3.375</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12/15/08</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">46,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">46,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">45,690,880</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">35</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.25</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11/15/13</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8,660,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8,660,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8,497,625</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">36</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Federal National Mortgage Assoc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="right"><FONT size=2 face="serif">Variable</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12/1/33</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,596,893</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,659,944</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">36</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">GSR Mortgage Loan Trust</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="right"><FONT size=2 face="serif">Variable</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10/25/33</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,825,241</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,640,133</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">36</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">GSR Mortgage Loan Trust</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="right"><FONT size=2 face="serif">Variable</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10/25/33</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,746,300</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,655,757</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">37</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">General Motors Acceptance Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.875</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/28/12</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,755,580</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">70</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_145"></A>

<P align="center">
<B><FONT size=2 face="serif"><u>Corresponding Underlying Collateral (continued)</u></FONT></B>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">Reverse</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">Repurchase</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">Maturity</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Original</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Current</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Trust </FONT></B></div></TD>
   <TD align="center"><B><FONT size=2 face="serif"> Agreement</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Description</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Rate</FONT></B></TD>
   <TD align="center">&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Date</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Face</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Face</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Market Value</FONT></B></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="50" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Limited</FONT></TD>
   <TD align="center"><FONT size=2 face="serif">37</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Honda Auto Receivables</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2.30</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">10/18/07</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">7,125,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">7,125,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">7,117,658</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Duration</FONT></TD>
   <TD align="center"><FONT size=2 face="serif">38</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Federal National Mortgage Assoc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.50</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10/1/33</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,871,620</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,867,521</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">(continued)</FONT></TD>
   <TD align="center"><FONT size=2 face="serif">39</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Federal National Mortgage Assoc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7.25</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1/15/10</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">17,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">17,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">19,570,400</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">40</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Comcast Cable Communications, Inc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.875</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6/15/09</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,685,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,685,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,359,416</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">40</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">DaimlerChrysler Auto Trust</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2.25</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/8/07</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,900,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,900,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,897,573</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">40</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Dow Chemical Co.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.97</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1/15/09</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,280,120</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">40</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Ford Motor Credit Co.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7.375</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2/1/11</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8,019,945</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">40</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Weyerhaeuser Co.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.25</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12/15/09</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,719,060</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">41</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Federal National Mortgage Assoc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="right"><FONT size=2 face="serif">Variable</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1/1/34</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">25,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,302,499</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,359,473</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">42</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Federal National Mortgage Assoc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.50</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3/1/32</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,100,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">659,772</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">661,304</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">42</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Federal National Mortgage Assoc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="right"><FONT size=2 face="serif">Variable</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1/1/34</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">27,657,926</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,653,611</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,716,642</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">43</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Concentra Operating Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9.50</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/15/10</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,995,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">43</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">CSC Holdings, Inc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7.875</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12/15/07</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,800,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,800,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,124,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">43</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">DaimlerChrysler NA Holding Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.05</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6/4/08</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,357,500</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">43</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Deutsche Telekom Intl. Finance BV</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="right"><FONT size=2 face="serif">Variable</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6/15/10</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4,726,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">43</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Nextel Communications, Inc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7.375</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/1/15</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,100,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,100,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,239,500</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">43</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Peru Republic</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9.125</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2/21/12</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,250,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">43</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Qwest Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="right"><FONT size=2 face="serif">Variable</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3/15/12</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,480,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">43</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Western Financial Bank</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9.625</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/15/12</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,900,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,900,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,284,250</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">44</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Allied Waste NA</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10.00</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/1/09</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">6,420,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 250,632,659</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Strategic</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Bond</FONT></TD>
   <TD align="center"><FONT size=2 face="serif">45</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">U.S. Treasury Notes</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.250</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/15/13</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">983,590</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">46</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Bank One Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.500</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2/1/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,070,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">46</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Barclays Bank PLC</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="right"><FONT size=2 face="serif">Variable</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9/29/49</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">650,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">650,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">785,757</FONT></TD>

   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">46</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">DTE Energy Co.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7.050</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6/1/11</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">250,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">250,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">275,370</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">46</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">ERP Operating LP</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.950</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3/2/11</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">557,300</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">46</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">European Investment Bank</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4.875</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9/6/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,049,640</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">46</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">FirstEnergy Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7.375</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11/15/31</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">325,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">325,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">341,338</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">46</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Ford Motor Credit Co.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.800</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1/12/09</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">750,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">750,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">763,305</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">46</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">General Motors Acceptance Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.750</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1/15/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">250,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">250,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">264,818</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">46</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">General Motors Acceptance Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.875</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9/15/11</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">900,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">900,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">940,824</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">46</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">General Motors Acceptance Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8.000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11/1/31</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">250,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">250,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">261,925</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">46</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">KFW Intl. Finance, Inc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.250</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6/28/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">850,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">850,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">897,303</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">46</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Lehman Brothers Holdings, Inc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.250</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/15/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,069,430</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">46</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Metlife, Inc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.125</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">12/1/11</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">325,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">325,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">349,937</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">46</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Progress Energy, Inc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.750</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3/1/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,068,210</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">46</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Viacom, Inc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.625</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/15/11</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,105,930</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">47</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Allstate Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7.875</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/1/05</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">529,250</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">47</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Anadarko Petroleum Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.375</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3/1/07</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,053,950</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">47</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">AOL Time Warner, Inc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7.700</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/1/32</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">700,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">700,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">771,379</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">47</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">AT&amp;T Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="right"><FONT size=2 face="serif">Variable</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">11/15/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">900,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">900,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">986,589</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">47</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Bear Stearns Co., Inc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.500</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/1/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">325,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">325,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">348,774</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">47</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Citigroup, Inc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.750</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/10/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,182,130</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">47</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">ConocoPhillips Holding Co.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.950</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/15/29</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">500,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">550,360</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">47</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">DaimlerChrysler NA Holding Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7.300</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1/15/12</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,095,220</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">47</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Ford Motor Credit Co.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.875</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2/1/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,119,820</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">47</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">General Mills, Inc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5.125</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2/15/07</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,045,470</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">47</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Kellogg Co.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/1/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">575,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">575,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">609,753</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">47</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Tyco Intl. Group SA</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.375</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2/15/06</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,053,540</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">47</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">United Technologies Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.350</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3/1/11</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,095,320</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">47</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Verizon New England, Inc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6.500</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9/15/11</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,173,840</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">47</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Vodafone Group PLC</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7.750</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2/15/10</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,159,260</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">48</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Adelphia Communications Corp.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.050</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7/15/04</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,100,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">48</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Autonation, Inc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9.000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/1/08</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">400,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">400,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">454,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">48</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Dresser, Inc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9.375</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">4/15/11</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,160,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">49</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Curative Hlth. Svcs., Inc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.080</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5/1/11</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">350,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">350,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">351,313</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center"><FONT size=2 face="serif">50</FONT></TD>
   <TD align="center">&nbsp;</TD>
   <TD><div align="center"><FONT size=2 face="serif">Autonation, Inc.</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9.000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">8/1/08</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1,000,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">1,135,000</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD><div align="center"></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif"> 34,759,645</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=2></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">71</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_147"></A>

<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">The average daily balance and weighted average interest rate of reverse repurchase agreements during the period ended April 30, 2004, were as follows:</FONT>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD width="50%">&nbsp;</TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif">Average Daily</FONT></B></TD>
   <TD width="5%">&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Weighted Average</FONT></B></TD>
  </TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif"> Trust</FONT></B></div></TD>
   <TD align="center" colspan=3><B><FONT size=2 face="serif"> Balance</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif"> Interest Rate</FONT></B></TD>
  </TR>
<TR>
   <TD><HR align="left" width="50" size=1 noshade></TD>
   <TD colspan=3><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan="2"><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Broad Investment Grade</FONT></TD>
   <TD width="7%"><div align="right"><FONT size=2 face="serif">$</FONT></div></TD>
   <TD width="8%" align="right"><FONT size=2 face="serif">22,781,747</FONT></TD>
   <TD width="8%">&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD width="12%" align="right"><FONT size=2 face="serif">1.02</FONT></TD>
   <TD width="10%"><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Core Bond</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">134,535,529</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.97</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Opportunity</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">95,749,476</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.03</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Trust</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">116,301,892</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">0.93</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Limited Duration</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">185,476,593</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.08</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Strategic Bond</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">37,812,139</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">1.30</FONT></TD>
   <TD><FONT size=2 face="serif">%</FONT></TD>
</TR>
</TABLE>
<P>
<B><FONT size=2 face="serif">Dollar Rolls: </FONT></B><FONT size=2 face="serif">The Trusts may enter into dollar rolls in which a Trust sells securities for delivery in the current month and simultaneously contracts to repurchase substantially
similar (same type, coupon and maturity) securities on a specified future date. During the roll period the Trusts forgo principal and interest paid on the securities. The Trusts will be compensated by the interest earned on the cash proceeds of the
initial sale and/or by the lower repurchase price at the future date.</FONT></P>
<P>
<B><FONT size=2 face="serif">Loan Payable: </FONT></B><FONT size=2 face="serif">High Yield has a $32 million committed credit facility (the &#147;facility&#148;). Under the terms of the facility, the Trust borrows at the London Interbank Offered
Rate (&#147;LIBOR&#148;) plus facility and administrative fees. In addition, the Trust pays a liquidity fee on the unused portion of the facility. The Trust may borrow up to 33</FONT><FONT size=1 face="serif"><SUP> 1 </SUP>/<SUB> 3
</SUB></FONT><FONT size=2 face="serif">% of its total assets up to the committed amount. In accordance with the terms of the facility, the Trust has pledged its portfolio assets as collateral for the borrowing.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">For the period ended April 30, 2004, High Yield borrowed a daily weighted average balance of $19,250,000 at a weighted average interest rate at 1.64%.</FONT></P>
<P><B><FONT face="serif">Note 5. Distributions<br>
to Shareholders</font></b></P>
<P>
The tax character of distributions paid during the period ended April 30, 2004, and the year ended October 31, <B></B><FONT size=2 face="serif">2003 were as follows:</FONT>
</P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD width="49%">&nbsp;</TD>
   <TD align="center" colspan=8><B><FONT size=2 face="serif"> Period ended April 30, 2004</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=8><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Ordinary</FONT></B></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Long-term</FONT></B></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Total</FONT></B></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Distributions Paid From:</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Income</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Capital Gain</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Distributions</FONT></B></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="150" size=1 noshade></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Broad Investment Grade</FONT></TD>
   <TD width="2%"><div align="right"><FONT size=2 face="serif">$</FONT></div></TD>
   <TD width="10%" align="right"><div align="right"><FONT size=2 face="serif">1,330,692</FONT></div></TD>
   <TD><div align="right"></div></TD>
   <TD width="3%"><div align="right"><FONT size=2 face="serif">$</FONT></div></TD>
   <TD width="10%" align="center"><div align="right"><FONT size=2 face="serif">&#151;</FONT></div></TD>
   <TD><div align="right"></div></TD>
   <TD width="4%"><div align="right"><FONT size=2 face="serif">$</FONT></div></TD>
   <TD width="10%" align="right"><div align="right"><FONT size=2 face="serif">1,330,692</FONT></div></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Core Bond</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">15,784,368</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="right"><FONT size=2 face="serif">&#151;</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">15,784,368</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">High Yield</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,225,398</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="right"><FONT size=2 face="serif">&#151;</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">3,225,398</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Opportunity</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">14,468,871</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="right"><FONT size=2 face="serif">&#151;</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">14,468,871</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Trust</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">19,436,198</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="right"><FONT size=2 face="serif">&#151;</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">19,436,198</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Limited Duration</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">27,532,174</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="right"><FONT size=2 face="serif">&#151;</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">27,532,174</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Strategic Bond</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,841,877</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center"><div align="right"><FONT size=2 face="serif">&#151;</FONT></div></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">5,841,877</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<p>&nbsp;</p>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD width="36%">&nbsp;</TD>
   <TD align="center" colspan=11><B><FONT size=2 face="serif"> Year ended October 31, 2003</FONT></B></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=11><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Ordinary</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Long-term</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Return</FONT></B></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Total</FONT></B></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Distributions Paid From:</FONT></B></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Income</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Capital Gain</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> of Capital</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Distributions</FONT></B></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="150" size=1 noshade></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Broad Investment Grade</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="10%" align="right"><FONT size=2 face="serif">3,504,653</FONT></TD>
   <TD>&nbsp;</TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="11%" align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="10%" align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD width="11%" align="right"><FONT size=2 face="serif">3,504,653</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Core Bond</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">30,289,664</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right" colspan=2><FONT size=2 face="serif">1,795,095</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">32,084,759</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">High Yield</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,783,092</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">333,356</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">7,116,448</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Opportunity</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">36,267,803</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">36,267,803</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Trust</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">63,862,381</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">63,862,381</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Limited Duration</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,176,505</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,176,505</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Strategic Bond</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10,466,535</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">10,466,535</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">72</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_149"></A>

<P>
<FONT size=2 face="serif">As of April 30, 2004, the components of distributable earnings on a tax basis were as follows:</FONT>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="43%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Undistributed</FONT></B></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Undistributed</FONT></B></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="center" colspan=2>&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Ordinary</FONT></B></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Long-term</FONT></B></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif">Unrealized Net</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif"> Trust</FONT></B></div></TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Income</FONT></B></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Gains</FONT></B></TD>
   <TD width="4%">&nbsp;</TD>
   <TD align="center" colspan=2><B><FONT size=2 face="serif"> Appreciation</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="50" size=1 noshade></TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan=2><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Broad Investment Grade</FONT></TD>
   <TD width="2%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">4,982,375</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="3%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">633,808</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="3%"><FONT size=2 face="serif">$</FONT></TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">1,467,232</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Core Bond</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">7,270,101</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">2,618,360</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">High Yield</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">19,098</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Opportunity</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">4,702,102</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">2,902,569</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">15,620,859</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Trust</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">6,440,612</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Limited Duration</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">1,532,337</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">3,725,540</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">23,760,424</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Strategic Bond</FONT></TD>
   <TD width="2%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">1,095,429</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="12%"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="3%">&nbsp;</TD>
   <TD align="right" width="13%"><FONT size=2 face="serif">7,377,056</FONT></TD>
   <TD width="3%">&nbsp;</TD>
</TR>
</TABLE>
<P>
<B><FONT face="serif">Note 6. Capital<br>
</FONT></B><FONT size=2 face="serif"><br>
There are 200 million of $0.01 par value common shares authorized for Broad Investment Grade, Income Opportunity and Income Trust. There are an unlimited number of $0.001 par
value common shares authorized for Core Bond, High Yield, Limited Duration and Strategic Bond. At April 30, 2004, the common shares outstanding and the shares owned by affiliates of the Advisor of each Trust were:</FONT></P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD width="58%">&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Common Shares</FONT></B></TD>
   <TD width="4%">&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Common Shares</FONT></B></TD>
  </TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif"> Trust</FONT></B></div></TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif"> Outstanding</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif"> Owned</FONT></B></TD>
  </TR>
<TR>
   <TD><HR align="left" width="50" size=1 noshade></TD>
   <TD colspan="2"><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan="2"><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Broad Investment Grade</FONT></TD>
   <TD width="12%" align="right"><FONT size=2 face="serif">2,957,093</FONT></TD>
   <TD width="6%">&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD width="12%" align="right"><FONT size=2 face="serif">7,093</FONT></TD>
   <TD width="8%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Core Bond</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">27,018,774</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,425</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">High Yield</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">6,395,321</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Opportunity</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">34,449,693</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Trust</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">63,569,490</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Limited Duration</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">36,727,287</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">6,021</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Strategic Bond</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">7,044,552</FONT></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">9,425</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">During the period ended April 30, 2004, High Yield, Income Trust, Limited Duration and Strategic Bond issued additional shares under their dividend reinvestment plans of 13,673, 179,799,
21,266, and 8,931, respectively. Transactions in common shares of beneficial interest for the year ended October 31, 2003, were as follows:</FONT></P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR>
   <TD width="27%">&nbsp;</TD>
   <TD align="center" colspan=5><B><FONT size=2 face="serif"> Shares from</FONT></B></TD>
   <TD width="4%">&nbsp;</TD>
   <TD width="15%" align="center">&nbsp;</TD>
   <TD width="2%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD colspan=5><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="11%" align="center"><B><FONT size=2 face="serif">Intial Public</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="21%" align="center"><B><FONT size=2 face="serif">Underwriters&#146; Exercising the</FONT></B></TD>
   <TD width="3%">&nbsp;</TD>
   <TD width="14%" align="center"><B><FONT size=2 face="serif">Reinvestment</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif">Net Increase in</FONT></B></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Trust </FONT></B></div></TD>
   <TD align="center"><B><FONT size=2 face="serif"> Offering</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Over-allotment Option</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> of Dividends</FONT></B></TD>
   <TD>&nbsp;</TD>
   <TD align="center"><B><FONT size=2 face="serif"> Shares Outstanding</FONT></B></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="50" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">High Yield</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">29,680</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">29,680</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Income Trust</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">514,874</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">514,874</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Limited Duration</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">34,306,021</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">2,400,000</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">36,706,021</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Strategic Bond</FONT></TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">&#151;</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">19,467</FONT></TD>
   <TD>&nbsp;</TD>
   <TD align="right"><FONT size=2 face="serif">19,467</FONT></TD>
   <TD>&nbsp;</TD>
</TR>
</TABLE>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Offering costs incurred in connection with the Limited Duration offering of common shares have been charged to paid-in capital in excess of par of the common shares in the amount of
$1,222,110.</FONT></P>
<P>
<B><FONT face="serif">Note 7. Dividends </FONT></B><br><FONT size=2 face="serif">Subsequent to April 30, 2004, the Board of each of the Trusts declared dividends per common share payable May 28, 2004, to shareholders of record on May 14, 2004. The per
share common dividends declared were as follows:</FONT></P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="83%">&nbsp;</TD>
   <TD align="center" width="17%"><B><FONT size=2 face="serif">Common Dividend</FONT></B></TD>
  </TR>
<TR>
   <TD align="center"><div align="left"><B><FONT size=2 face="serif">Trust </FONT></B></div></TD>
   <TD align="center" width="17%"><B><FONT size=2 face="serif"> Per Share</FONT></B></TD>
  </TR>
<TR>
   <TD><HR align="left" width="50" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Broad Investment Grade</FONT></TD>
   <TD align="right" width="17%"><div align="center"><FONT size=2 face="serif">$0.075000&nbsp;&nbsp;</FONT></div></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Core Bond</FONT></TD>
   <TD align="right" width="17%"><div align="center"><FONT size=2 face="serif">0.087500</FONT></div></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">High Yield</FONT></TD>
   <TD align="right" width="17%"><div align="center"><FONT size=2 face="serif">0.084167</FONT></div></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Income Opportunity</FONT></TD>
   <TD align="right" width="17%"><div align="center"><FONT size=2 face="serif">0.070000</FONT></div></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Income Trust</FONT></TD>
   <TD align="right" width="17%"><div align="center"><FONT size=2 face="serif">0.051042</FONT></div></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Limited Duration</FONT></TD>
   <TD align="right" width="17%"><div align="center"><FONT size=2 face="serif">0.125000</FONT></div></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Strategic Bond</FONT></TD>
   <TD align="right" width="17%"><div align="center"><FONT size=2 face="serif">0.130000</FONT></div></TD>
  </TR>
</TABLE>
<P align="center">
<FONT size=2 face="serif">73</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_151"></A>

<P align="center">
<B><FONT face="serif">DIVIDEND REINVESTMENT PLANS</FONT></B>
</P>
<hr noshade>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Pursuant to each Trust&#146;s respective Dividend Reinvestment Plan (the &#147;Plan&#148;), shareholders of Broad Investment Grade, Income Opportunity and Income Trust may elect, while
shareholders of Core Bond, High Yield, Limited Duration and Strategic Bond are automatically enrolled, to have all distributions of dividends and capital gains reinvested by EquiServe Trust Company, N.A. (the &#147;Plan Agent&#148;) in the
respective Trust&#146;s shares pursuant to the Plan. Shareholders who do not participate in the Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street or other
nominee name, then to the nominee) by the Plan Agent, which serves as agent for the shareholders in administering the Plan.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">After Broad Investment Grade and/or Income Opportunity Trust declares a dividend or determines to make a capital gain distribution, the Plan Agent will acquire shares for the participants&#146;
 account, by the purchase of outstanding shares on the open market, on the Trust&#146;s primary exchange or elsewhere (&#147;open market purchases&#148;). The Trust will not issue any new shares under the Plan.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">After Core Bond, High Yield, Income Trust, Limited Duration and/or Strategic Bond declares a dividend or determines to make a capital gain distribution, the Plan Agent will acquire shares for
the participants&#146; account, depending upon the circumstances described below, either (i) through receipt of unissued but authorized shares from the Trust (&#147;newly issued shares&#148;) or (ii) by open market purchases. If, on the dividend
payment date, the NAV is equal to or less than the market price per share plus estimated brokerage commissions (such condition being referred to herein as &#147;market premium&#148;), the Plan Agent will invest the dividend amount in newly issued
shares on behalf of the participants. The number of newly issued shares to be credited to each participant&#146;s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the
NAV is less than 95% of the market price on the payment date, the dollar amount of the dividend will be divided by 95% of the market price on the payment date. If, on the dividend payment date, the NAV is greater than the market value per share plus
estimated brokerage commissions (such condition being referred to herein as &#147;market discount&#148;), the Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">The Plan Agent&#146;s fees for the handling of the reinvestment of dividends and distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage
commissions incurred with respect to the Plan Agent&#146;s open market purchases in connection with the reinvestment of dividends and distributions. The automatic reinvestment of dividends and distributions will not relieve participants of any
Federal income tax that may be payable on such dividends or distributions.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Each Trust reserves the right to amend or terminate the Plan. There is no direct service charge to participants in the Plan; however, each Trust reserves the right to amend the Plan to include
a service charge payable by the participants. Participants who request a sale of shares through the Plan Agent are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commisson. All correspondence concerning the Plan should be directed
to the Plan Agent at 250 Royall Street, Canton, MA 02021 or (800) 699-1BFM.</FONT></P>
<P align="center">
<FONT size=2 face="serif">74</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_153"></A>

<P align="center">
<B><FONT face="serif">ADDITIONAL INFORMATION</FONT></B>
</P>
<hr noshade>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">The Joint Annual Meeting of Shareholders was held on May 26, 2004, to elect a certain number of Directors/Trustees for each of the following Trusts to three year terms expiring in 2007:</FONT></P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD width="64%"><B><FONT size=2 face="serif">Core Bond</FONT></B></TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="75" size=1 noshade></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Elected the Class I Directors as follows:</FONT></TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Director</FONT></B></TD>
   <TD align="center" width="13%"><B><FONT size=2 face="serif">Votes for</FONT></B></TD>
   <TD width="5%">&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Votes Withheld</FONT></B></TD>
  </TR>
<TR>
   <TD><HR align="left" width="75" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan="2"><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Richard E. Cavanagh</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">2,399,250</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="center" width="11%"><div align="right"><FONT size=2 face="serif">22,018</FONT></div></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">James Clayburn La Force, Jr.</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">2,398,950</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="center" width="11%"><div align="right"><FONT size=2 face="serif">22,318</FONT></div></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD align="center">&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Broad Investment Grade</FONT></B></TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="150" size=1 noshade></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Elected the Class III Trustees as follows:</FONT></TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Trustee</FONT></B></TD>
   <TD align="center" width="13%"><B><FONT size=2 face="serif">Votes for</FONT></B></TD>
   <TD width="5%">&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Votes Withheld</FONT></B></TD>
  </TR>
<TR>
   <TD><HR align="left" width="75" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan="2"><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Andrew F. Brimmer</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">22,737,026</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">230,263</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Kent Dixon</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">22,770,207</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">197,082</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Robert S. Kapito</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">22,784,467</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">182,822</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">High Yield</FONT></B></TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="75" size=1 noshade></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Elected the Class II Trustees as follows:</FONT></TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Trustee</FONT></B></TD>

   <TD align="center" width="13%"><B><FONT size=2 face="serif">Votes for</FONT></B></TD>
   <TD width="5%">&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Votes Withheld</FONT></B></TD>
  </TR>
<TR>
   <TD><HR align="left" width="75" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan="2"><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Frank J. Fabozzi</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">5,605,743</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">77,206</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Walter F. Mondale</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">5,576,541</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">106,408</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Ralph L. Schlosstein</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">5,607,483</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">75,466</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Income Opportunity</FONT></B></TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="125" size=1 noshade></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Elected the Class III Directors as follows:</FONT></TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Director </FONT></B></TD>
   <TD align="center" width="13%"><B><FONT size=2 face="serif">Votes for</FONT></B></TD>
   <TD width="5%">&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Votes Withheld</FONT></B></TD>
  </TR>
<TR>
   <TD><HR align="left" width="75" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan="2"><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Andrew F. Brimmer</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">28,101,876</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">744,186</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Kent Dixon</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">28,132,303</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">713,759</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Robert S. Kapito</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">28,136,967</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">709,095</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Income Trust</FONT></B></TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="75" size=1 noshade></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Elected the Class III Directors as follows:</FONT></TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Director </FONT></B></TD>
   <TD align="center" width="13%"><B><FONT size=2 face="serif">Votes for</FONT></B></TD>
   <TD width="5%">&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Votes Withheld</FONT></B></TD>
  </TR>
<TR>
   <TD><HR align="left" width="75" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan="2"><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Andrew F. Brimmer</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">55,106,787</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">671,942</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Kent Dixon</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">55,158,072</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">620,657</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Robert S. Kapito</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">55,183,010</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">595,719</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Limited Duration</FONT></B></TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="100" size=1 noshade></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Elected the Class I Trustees as follows:</FONT></TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Trustee</FONT></B></TD>
   <TD align="center" width="13%"><B><FONT size=2 face="serif">Votes for</FONT></B></TD>
   <TD width="5%">&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Votes Withheld</FONT></B></TD>
  </TR>
<TR>
   <TD><HR align="left" width="75" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan="2"><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Richard E. Cavanagh</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">29,016,706</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">223,904</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">James Clayburn La Force Jr.</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">28,994,099</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">246,511</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Strategic Bond</FONT></B></TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="85" size=1 noshade></TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Elected the Class III Trustees as follows:</FONT></TD>
   <TD width="13%">&nbsp;</TD>
   <TD width="5%">&nbsp;</TD>
   <TD width="11%">&nbsp;</TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><B><FONT size=2 face="serif">Trustee </FONT></B></TD>
   <TD align="center" width="13%"><B><FONT size=2 face="serif">Votes for</FONT></B></TD>
   <TD width="5%">&nbsp;</TD>
   <TD colspan="2" align="center"><B><FONT size=2 face="serif">Votes Withheld</FONT></B></TD>
  </TR>
<TR>
   <TD><HR align="left" width="75" size=1 noshade></TD>
   <TD><HR noshade size=1></TD>
   <TD>&nbsp;</TD>
   <TD colspan="2"><HR noshade size=1></TD>
  </TR>
<TR>
   <TD><FONT size=2 face="serif">Andrew F. Brimmer</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">5,687,467</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">46,597</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Kent Dixon</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">5,695,967</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">38,097</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT size=2 face="serif">Robert S. Kapito</FONT></TD>
   <TD align="center" width="13%"><FONT size=2 face="serif">5,694,117</FONT></TD>
   <TD width="5%">&nbsp;</TD>
   <TD align="right" width="11%"><FONT size=2 face="serif">39,947</FONT></TD>
   <TD width="7%">&nbsp;</TD>
</TR>
</TABLE>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Quarterly performance and other information regarding the Trusts may be found on BlackRock&#146;s website, which can be accessed at http://www.blackrock.com/funds/cefunds/index.html. This
reference to BlackRock&#146;s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended, to incorporate BlackRock&#146;s website into this report.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Certain of the officers of the Trusts listed on the inside back cover of this Report to Shareholders are also officers of the Advisor or Sub-Advisor. They serve in the following capacities for
the Advisor or Sub-Advisor; Robert S. Kapito&#151;Director and Vice Chairman of the Advisor and the Sub-Advisor, Henry Gabbay and Anne Ackerley&#151;Managing Directors of the Advisor and the Sub-Advisor, Jeff Gary, Richard M. Shea and James
Kong&#151;Managing Directors of the Sub-Advisor, Vincent B. Tritto&#151;Director of the Sub-Advisor, and Brian P. Kindelan&#151;Director of the Advisor.</FONT></P>
<P align="center">
<FONT size=2 face="serif">75</FONT>
</P>

<HR noshade align="center" width="100%" size=2><PAGE>

<A NAME="page_155"></A>

<P align="center">
<FONT size=6 face="serif">BlackRock Closed-End Funds</FONT>
</P>
<TABLE width="100%" border=0 cellspacing=0 cellpadding=0>
<TR>
   <TD><FONT face="serif">Trustees</FONT></TD>
   <TD align="center" width="56%"><div align="left"><FONT face="serif">Transfer Agent</FONT></div></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Ralph L. Schlosstein, <em>Chairman</em></FONT></TD>
   <TD width="56%"><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;EquiServe Trust Company, N.A.</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Andrew F. Brimmer</FONT></TD>
   <TD width="56%"><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;250 Royall Street</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Richard E. Cavanagh</FONT></TD>
   <TD width="56%"><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;Canton, MA 02021</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Kent Dixon</FONT></TD>
   <TD align="center" width="56%"><div align="left"><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;(800) 699-1BFM</FONT></div></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Frank J. Fabozzi</FONT></TD>
   <TD width="56%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Robert S. Kapito</FONT></TD>
   <TD width="56%"><FONT face="serif">Independent Accountants</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">James Clayburn La Force, Jr.</FONT></TD>
   <TD width="56%"><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;Deloitte &amp; Touche LLP</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Walter F. Mondale</FONT></TD>

   <TD width="56%"><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;200 Berkeley Street</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="56%"><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;Boston, MA 02116</FONT></TD>
</TR>
<TR>
  <TD><FONT face="serif">Officers</FONT></TD>
   <TD width="56%">&nbsp;</TD>
</TR>
<TR>
  <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Robert S. Kapito, <em>President</em></FONT></TD>
   <TD width="56%"><FONT face="serif">Legal Counsel</FONT></TD>
</TR>
<TR>
  <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Henry Gabbay, <em>Treasurer</em></FONT></TD>
   <TD width="56%"><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;Skadden, Arps, Slate, Meagher &amp; Flom LLP</FONT></TD>
</TR>
<TR>
  <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Anne Ackerley, <em>Vice President</em></FONT></TD>
   <TD width="56%"><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;Four Times Square</FONT></TD>
</TR>
<TR>
  <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Jeff Gary, <em>Vice President</em><SUP>1</SUP></FONT></TD>
   <TD width="56%"><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;New York, NY 10036</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Richard M. Shea, <em>Vice President/Tax</em></FONT></TD>
   <TD width="56%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<font size=2 face="serif">James Kong, <em>Assistant Treasurer</em></font></TD>
   <TD width="56%"><FONT face="serif">Legal Counsel &#150; Independent Trustees</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<font size=2 face="serif">Vincent B. Tritto, <em>Secretary</em></font></TD>
   <TD width="56%"><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;Debevoise &amp; Plimpton LLP</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<font size=2 face="serif">Brian P. Kindelan, <em>Assistant Secretary</em></font></TD>
   <TD width="56%"><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;919 Third Avenue</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="56%"><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;New York, NY 10022</FONT></TD>
</TR>
<TR>
  <TD><FONT face="serif">Investment Advisor</FONT></TD>
   <TD width="56%">&nbsp;</TD>
</TR>
<TR>
  <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">BlackRock Advisors, Inc.</FONT></TD>
   <TD width="56%"><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;This report is for shareholder information. This is not a </FONT></TD>
</TR>
<TR>
  <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">100 Bellevue Parkway</FONT></TD>
   <TD width="56%"><FONT size=2 face="serif"> prospectus intended for use in the purchase or sale of Trust shares.</FONT></TD>
</TR>
<TR>
  <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Wilmington, DE 19809</FONT></TD>
   <TD width="56%"><FONT size=2 face="serif">Statements and other information contained in this report are as</FONT></TD>
</TR>
<TR>
  <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">(800) 227-7BFM</FONT></TD>
   <TD width="56%"><FONT size=2 face="serif">dated and are subject to change.</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;</TD>
   <TD width="56%">&nbsp;</TD>
</TR>
<TR>
   <TD><FONT face="serif">Sub-Advisor<SUP>2</SUP></FONT></TD>
   <TD width="56%"><FONT size=2 face="serif">BlackRock Closed-End Funds</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">BlackRock Financial Management, Inc.</FONT></TD>
   <TD width="56%"><FONT size=2 face="serif">c/o BlackRock Advisors, Inc.</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">40 East 52nd Street</FONT></TD>
   <TD width="56%"><FONT size=2 face="serif">100 Bellevue Parkway</FONT></TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">New York, NY 10022</FONT></TD>
   <TD width="56%"><FONT size=2 face="serif">Wilmington, DE 19809</FONT></TD>
</TR>
<TR>
  <TD>&nbsp;</TD>
  <TD align="center" width="56%"><div align="left"><FONT size=2 face="serif">(800) 227-7BFM</FONT></div></TD>
</TR>
<TR>
   <TD><FONT face="serif">Custodian</FONT></TD>
   <TD width="56%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">State Street Bank and Trust Company</FONT></TD>
   <TD width="56%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">225 Franklin Street</FONT></TD>
   <TD width="56%">&nbsp;</TD>
</TR>
<TR>
   <TD>&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Boston, MA 02110</FONT></TD>
   <TD width="56%">&nbsp;</TD>
</TR>
<TR>
   <TD><HR align="left" width="50" size=1 noshade></TD>
   <TD>&nbsp;</TD>
</TR>
<TR>
   <TD><SUP><FONT size=1 face="serif">1 </FONT></SUP><FONT size=1 face="serif">For High Yield</FONT></TD>
   <TD width="56%">&nbsp;</TD>
</TR>
<TR>
   <TD><SUP><FONT size=1 face="serif">2 </FONT></SUP><FONT size=1 face="serif">For Core Bond, Limited Duration and Strategic Bond.</FONT></TD>
   <TD width="56%">&nbsp;</TD>
</TR>
</TABLE>
<P>
<FONT size=2 face="serif">The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called
&#147;householding&#148; and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the
mailing of these documents to be combined with those for other members of your household, please contact the Trusts at (800)227-7BFM.</FONT></P>
<P>
<FONT size=2 face="serif">The Trusts have delegated to the Advisor the voting of proxies relating to their voting securities pursuant to the Advisor&#146;s proxy voting policies and procedures. You may obtain a copy of these proxy voting policies
and procedures, without charge, by calling (800) 699-1236. These policies and procedures are also available on the website of the Securities and Exchange Commission at http://www.sec.gov.</FONT></P>

<HR noshade align="center" width="100%" size=2><PAGE>


<A NAME="page_157"></A>

<P>&nbsp;
</P>
<table width="100%"  border="0" cellspacing="0" cellpadding="0">
  <tr>
    <td><p><font size=1 face="sans-serif">This report is for shareholder information. This is not a prospectus intended <br>
        for use in the purchase or sale of Trust shares. Statements and other <br>
        information contained in this report are as dated and are subject to change.</font></p>
        <p><font size=1 face="sans-serif">CEF-Semi-3</font></p></td>
    <td><div align="right"><IMG SRC="c32732_ncsrsx157x1.jpg" BORDER="0"></div></td>
  </tr>
</table>
<P>&nbsp;</P>
<P align="right">&nbsp;
</P>

<HR noshade align="center" width="100%" size=2><PAGE>


<table width=100% cellspacing=0 cellpadding=0 border=0><tr><td valign=top width=60><font size=2><b>Item 2.</b></font></td>
<td valign=top><font size=2><b>Code of Ethics.</b></font></td></tr></table><br>
<p align=left><font size=2>Not applicable for semi-annual reports.</font></p>
<table width=100% cellspacing=0 cellpadding=0 border=0><tr><td valign=top width=60><font size=2><b>Item 3.</b></font></td>
<td valign=top><font size=2><b>Audit Committee Financial Expert.</b></font></td></tr></table><br>
<p align=left><font size=2>Not applicable for semi-annual reports.</font></p>
<table width=100% cellspacing=0 cellpadding=0 border=0><tr><td valign=top width=60><font size=2><b>Item 4.</b></font></td>
<td valign=top><font size=2><b>Principal Accountant Fees and Services.</b></font></td></tr></table><br>
<p align=left><font size=2>Not applicable for semi-annual reports.</font></p>
<table width=100% cellspacing=0 cellpadding=0 border=0><tr><td valign=top width=60><font size=2><b>Item 5.</b></font></td>
<td valign=top><font size=2><b>Audit Committee of Listed Registrants.</b></font></td></tr></table><br>
<p align=left><font size=2>Not applicable for semi-annual reports.</font></p>
<table width=100% cellspacing=0 cellpadding=0 border=0><tr><td valign=top width=60><font size=2><b>Item 6.</b></font></td>
<td valign=top><font size=2><b>Schedule of Investments.</b></font></td></tr></table><br>
<p align=left><font size=2>Not applicable for reports for periods ending on or before July 9, 2004.</font></p>
<table width=100% cellspacing=0 cellpadding=0 border=0><tr><td valign=top width=60><font size=2><b>Item 7.</b></font></td>
<td valign=top><font size=2><b>Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.</b></font></td></tr></table><br>
<p align=left><font size=2>Not applicable for semi-annual reports.</font></p>
<table width=100% cellspacing=0 cellpadding=0 border=0><tr><td valign=top width=60><font size=2><b>Item 8.</b></font></td>
<td valign=top><font size=2><b>Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers.</b></font></td></tr></table><br>
<p align=left><font size=2>Not applicable for reports covering periods ending on or before June 15, 2004.</font></p>
<table width=100% cellspacing=0 cellpadding=0 border=0><tr><td valign=top width=60><font size=2><b>Item 9.</b></font></td>
<td valign=top><font size=2><b>Submission of Matters to a Vote of Security Holders.</b></font></td></tr></table><br>
<p align=left><font size=2>Not applicable.</font></p>
<table width=100% cellspacing=0 cellpadding=0 border=0><tr><td valign=top width=60><font size=2><b>Item 10.</b></font></td>
<td valign=top><font size=2><b>Controls and Procedures.</b></font></td></tr></table><br>
<p align=left><font size=2>(a) The Registrant&#146;s principal executive officer and principal financial officer have evaluated the Registrant&#146;s disclosure controls and procedures within 90 days of this filing and have concluded that the Registrant&#146;s disclosure controls and procedures are effective, as of a date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.</font></p>
<p align=left><font size=2>(b) The Registrant&#146;s principal executive officer and principal financial officer are aware of no changes in the Registrant&#146;s internal control over financial reporting that occurred during the Registrant&#146;s most recent fiscal half-year that has materially affected, or is reasonably likely to materially affect, the Registrant&#146;s internal control over financial reporting.</font></p>
<table width=100% cellspacing=0 cellpadding=0 border=0><tr><td valign=top><font size=2><b>Item 11. Exhibits.</b></font><font size=2></font></td>
</tr></table>
<br>
<p align=left><font size=2>(a)(1) Not applicable.</font></p>
<p align=left><font size=2>(a)(2) Separate certifications of Principal Executive and Financial Officers pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.</font></p>
<p align=left><font size=2>(a)(3) Not applicable.</font></p>
<p align=left><font size=2>(b) Certification of Principal Executive and Financial Officers pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.</font></p>

<CENTER><font size=2>2</font>
</CENTER><br><HR noshade align=center width=100% size=2><PAGE>

<p align=center><font size=2><B>SIGNATURES</B></font></p>
<p align=left><font size=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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.</font></p>
<table width=95% cellspacing=0 cellpadding=0>
  <tr>
    <td colspan="3" align=left><font size=2>(Registrant) ___<u>The BlackRock Limited Duration Income Trust</u>__________________________________________</font></td>
  <tr valign="baseline">
    <td align=left>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left>&nbsp;</td>
  <tr valign="baseline">
    <td align=left>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left>&nbsp;</td>
  <tr valign="baseline">
    <td align=left>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left>&nbsp;</td>
  <tr valign="baseline">
    <td align=left>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left>&nbsp;</td>
  <tr valign="baseline"><td width=124 align=left><font size=2>By:</font></td>
  <td width=14>&nbsp;</td>
  <td width=702 align=left><font size=2>/s/ Henry Gabbay<br>
    ___________________________________________
      </font></td>
<tr valign="baseline"><td width=124 align=left><font size=2>Name:</font></td>
  <td width=14>&nbsp;</td>
  <td width=702 align=left><font size=2>Henry Gabbay</font></td>
<tr valign="baseline"><td width=124 align=left><font size=2>Title:</font></td>
  <td width=14>&nbsp;</td>
  <td width=702 align=left><font size=2>Treasurer</font></td>
<tr valign="baseline"><td width=124 align=left><font size=2>Date:</font></td>
  <td width=14>&nbsp;</td>
  <td width=702 align=left><font size=2>July 2, 2004</font></td>
</TABLE>
<br>
<p align=left><font size=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.</font></p>
<table width=95% cellspacing=0 cellpadding=0>
  <tr valign="baseline">
    <td align=left>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left>&nbsp;</td>
  <tr valign="baseline">
    <td align=left>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left>&nbsp;</td>
  <tr valign="baseline">
    <td align=left>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left>&nbsp;</td>
  <tr valign="baseline"><td width=123 align=left><font size=2>By:</font></td>
  <td width=16>&nbsp;</td>
  <td width=701 align=left><font size=2>/s/ Robert S. Kapito
      <br>
      ___________________________________________
</font></td>
<tr valign="baseline"><td width=123 align=left><font size=2>Name:</font></td>
  <td width=16>&nbsp;</td>
  <td width=701 align=left><font size=2>Robert S. Kapito</font></td>
<tr valign="baseline"><td width=123 align=left><font size=2>Title:</font></td>
  <td width=16>&nbsp;</td>
  <td width=701 align=left><font size=2>Principal Executive Officer</font></td>
<tr valign="baseline"><td width=123 align=left><font size=2>Date:</font></td>
  <td width=16>&nbsp;</td>
  <td width=701 align=left><font size=2>July 2, 2004</font></td>
</TABLE>
<br>
<table width=95% cellspacing=0 cellpadding=0>
  <tr>
    <td align=left>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left>&nbsp;</td>
  <tr>
    <td align=left>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left>&nbsp;</td>
  <tr>
    <td align=left>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left>&nbsp;</td>
  <tr><td width=124 align=left><font size=2>By:</font></td>
  <td width=15>&nbsp;</td>
  <td width=701 align=left><font size=2>/s/ Henry Gabbay
      <br>
      ___________________________________________      </font></td>
<tr><td width=124 valign=top align=left><font size=2>Name:</font></td>
  <td width=15>&nbsp;</td>
  <td width=701 valign=top align=left><font size=2>Henry Gabbay</font></td>
<tr><td width=124 valign=top align=left><font size=2>Title:</font></td>
  <td width=15>&nbsp;</td>
  <td width=701 valign=top align=left><font size=2>Principal Financial Officer</font></td>
<tr><td width=124 valign=top align=left><font size=2>Date:</font></td>
  <td width=15>&nbsp;</td>
  <td width=701 valign=top align=left><font size=2>July 2, 2004</font></td>
</TABLE>
<br>

<CENTER><font size=2>3</font>
</CENTER><br><HR noshade align=center width=100% size=2>
<p align=right>&nbsp;</p>
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<DOCUMENT>
<TYPE>EX-99.CERT
<SEQUENCE>6
<FILENAME>c32732_ex99-cert.htm
<TEXT>


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<p align=right><font size=2><b>Exhibit 99.Cert</b></font></p>
<p align=center><font size=2><B>CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER</B></font></p>
<p align=center><font size=2><b><U>CERTIFICATIONS</U></b></font></p>
<p align=left><font size=2>I, Robert Kapito, certify that:</font></p>
<p align=left><font size=2>1. I have reviewed this report on Form N-CSR of The BlackRock Limited Duration Income Trust;</font></p>
<p align=left><font size=2>2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;</font></p>
<p align=left><font size=2>3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;</font></p>
<p align=left><font size=2>4. The registrant&#146;s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have:</font></p>
<p align=left><font size=2>a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;</font></p>
<p align=left><font size=2>b) Evaluated the effectiveness of the registrant&#146;s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and</font></p>
<p align=left><font size=2>c) Disclosed in this report any change in the registrant&#146;s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant&#146;s most recent fiscal half-year (the registrant&#146;s second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and</font></p>
<p align=left><font size=2>5. The registrant&#146;s other certifying officer(s) and I have disclosed to the registrant&#146;s auditors and the audit committee of the registrant&#146;s board of directors (or persons performing the equivalent functions):</font></p>
<p align=left><font size=2>a) All significant deficiencies and material weaknesses in the design or operation of internal controls over financial reporting which are reasonably likely to adversely affect the registrant&#146;s ability to record, process, summarize, and report financial information; and</font></p>
<p align=left><font size=2>b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant&#146;s internal controls.</font></p>
<p align=left><font size=2>Date: July 2, 2004</font></p>
<br>
<br>
<table width=80% cellspacing=0 cellpadding=0>
  <tr>
    <td width=40%  align=left><font size=2><br>
          <br>
          <br>
    </font></td>
    <td width=5%>&nbsp;</td>
    <td width=5%>&nbsp;</td>
    <td width=40% align=left><font size=2>/s/ Robert S. Kapito<br>
      ___________________________________________ </font></td>
  </tr>
  <tr>
    <td width=40%>&nbsp;</td>
    <td width=5%>&nbsp;</td>
    <td width=5% align=right><font size=2>&nbsp;&nbsp;&nbsp;</font></td>
    <td width=40% align=left><font size=2>Robert S. Kapito</font></td>
  </tr>
  <tr>
    <td width=40%>&nbsp;</td>
    <td width=5%>&nbsp;</td>
    <td width=5%>&nbsp;</td>
    <td width=40% align=left><font size=2>Principal Executive Officer</font></td>
  </tr>
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<p align=right><font size=2><b>Exhibit 99.Cert</b></font></p>
<p align=center><font size=2><B>CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER</B></font></p>
<p align=center><font size=2><b><U>CERTIFICATIONS</U></b></font></p>
<p align=left><font size=2>I, Henry Gabbay, certify that:</font></p>
<p align=left><font size=2>1. I have reviewed this report on Form N-CSR of The BlackRock Limited Duration Income Trust;</font></p>
<p align=left><font size=2>2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;</font></p>
<p align=left><font size=2>3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;</font></p>
<p align=left><font size=2>4. The registrant&#146;s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have:</font></p>
<p align=left><font size=2>a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;</font></p>
<p align=left><font size=2>b) Evaluated the effectiveness of the registrant&#146;s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and</font></p>
<p align=left><font size=2>c) Disclosed in this report any change in the registrant&#146;s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant&#146;s most recent fiscal half-year (the registrant&#146;s second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and</font></p>
<p align=left><font size=2>5. The registrant&#146;s other certifying officer(s) and I have disclosed to the registrant&#146;s auditors and the audit committee of the registrant&#146;s board of directors (or persons performing the equivalent functions):</font></p>
<p align=left><font size=2>a) All significant deficiencies and material weaknesses in the design or operation of internal controls over financial reporting which are reasonably likely to adversely affect the registrant&#146;s ability to record, process, summarize, and report financial information; and</font></p>
<p align=left><font size=2>b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant&#146;s internal controls.</font></p>
<p align=left><font size=2>Date: July 2, 2004</font></p>
<table width=80% cellspacing=0 cellpadding=0>
  <tr>
    <td height="64"  align=left>&nbsp;</td>
    <td>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left>&nbsp;</td>
  </tr>
  <tr>
    <td width=40% height="64"  align=left><font size=2><br>
          <br>
          <br>
    </font></td>
    <td width=5%>&nbsp;</td>
    <td width=5%>&nbsp;</td>
    <td width=40% align=left><font size=2>/s/ Henry Gabbay<br>
      _______________________________________________</font></td>
  </tr>
  <tr>
    <td width=40%>&nbsp;</td>
    <td width=5%>&nbsp;</td>
    <td width=5% align=right><font size=2>&nbsp;&nbsp;&nbsp;</font></td>
    <td width=40% align=left><font size=2>Henry Gabbay</font></td>
  </tr>
  <tr>
    <td width=40%>&nbsp;</td>
    <td width=5%>&nbsp;</td>
    <td width=5%>&nbsp;</td>
    <td width=40% align=left><font size=2>Principal Financial Officer</font></td>
  </tr>
</TABLE>
<br>
<CENTER>
</CENTER>
<br>
<HR noshade align=center width=100% size=2>

<p align=center>&nbsp;</p>
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</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.906CERT
<SEQUENCE>7
<FILENAME>c32732_ex99-906cert.htm
<TEXT>

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<p align=center><font size=2><b><U>SECTION 906 CERTIFICATION</U></b></font></p>
<p align=left><font size=2>Pursuant to 18 U.S.C. &sect; 1350, the undersigned officers of The BlackRock Limited Duration Income Trust (the &#147;Company&#148;), hereby certify, to the best of their knowledge, that the Company&#146;s Report on Form N-CSR for the period ended April 30, 2004 (the &#147;Report&#148;) fully complies with the requirements of Section 13(a) or 15(d), as applicable, of the Securities Exchange Act of 1934 and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.</font></p>
<p align=left><font size=2>Dated: July 2, 2004</font></p>
<br>
<br>
<br>
<br>
<table width=80% cellspacing=0 cellpadding=0>
  <tr>
    <td width=51%  align=left><font size=2>/s/ Robert S. Kapito<br>
      ____________________________________________________ <br>
    </font></td>
    <td width=7%>&nbsp;</td>
    <td width=39%>&nbsp;</td>
    <td width=3% align=left>&nbsp;</td>
  </tr>
  <tr>
    <td width=51% align=left><font size=2>Name:&nbsp;&nbsp;&nbsp;Robert S. Kapito</font></td>
    <td width=7%>&nbsp;</td>
    <td width=39% align=right><font size=2>&nbsp;&nbsp;&nbsp;</font></td>
    <td width=3%>&nbsp;</td>
  </tr>
  <tr>
    <td width=51% align=left><font size=2>Title:&nbsp;&nbsp;&nbsp;Principal Executive Officer</font></td>
    <td width=7%>&nbsp;</td>
    <td width=39%>&nbsp;</td>
    <td width=3%>&nbsp;</td>
  </tr>
  <tr>
    <td align=left>&nbsp;</td>
    <td>&nbsp;</td>
    <td>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr>
    <td align=left>&nbsp;</td>
    <td>&nbsp;</td>
    <td>&nbsp;</td>
    <td>&nbsp;</td>
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    <td  align=left>&nbsp;</td>
    <td>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left>&nbsp;</td>
  </tr>
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    <td  align=left>&nbsp;</td>
    <td>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left>&nbsp;</td>
  </tr>
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    <td  align=left>&nbsp;</td>
    <td>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left>&nbsp;</td>
  </tr>
  <tr>
    <td width=51%  align=left><font size=2>/s/ Henry Gabbay<br>
      ____________________________________________________ <br>
    </font></td>
    <td width=7%>&nbsp;</td>
    <td width=39%>&nbsp;</td>
    <td width=3% align=left>&nbsp;</td>
  </tr>
  <tr>
    <td width=51% align=left><font size=2>Name:&nbsp;&nbsp;&nbsp;Henry Gabbay</font></td>
    <td width=7%>&nbsp;</td>
    <td width=39% align=right><font size=2>&nbsp;&nbsp;&nbsp;</font></td>
    <td width=3%>&nbsp;</td>
  </tr>
  <tr>
    <td width=51% align=left><font size=2>Title:&nbsp;&nbsp;&nbsp;Principal Financial Officer</font></td>
    <td width=7%>&nbsp;</td>
    <td width=39%>&nbsp;</td>
    <td width=3%>&nbsp;</td>
  </tr>
</TABLE>
<br>
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</SEC-DOCUMENT>
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