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<SEC-DOCUMENT>0000930413-07-007644.txt : 20070924
<SEC-HEADER>0000930413-07-007644.hdr.sgml : 20070924
<ACCEPTANCE-DATETIME>20070924124602
ACCESSION NUMBER:		0000930413-07-007644
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20070731
FILED AS OF DATE:		20070924
DATE AS OF CHANGE:		20070924
EFFECTIVENESS DATE:		20070924

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			BLACKROCK INCOME TRUST INC
		CENTRAL INDEX KEY:			0000832327
		IRS NUMBER:				133463349
		STATE OF INCORPORATION:			MD
		FISCAL YEAR END:			1031

	FILING VALUES:
		FORM TYPE:		N-Q
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05542
		FILM NUMBER:		071131012

	BUSINESS ADDRESS:	
		STREET 1:		100 BELLEVUE PARKWAY
		STREET 2:		MUTUAL FUND DEPARTMENT
		CITY:			WILMINGTON
		STATE:			DE
		ZIP:			19809
		BUSINESS PHONE:		888-825-2257

	MAIL ADDRESS:	
		STREET 1:		100 BELLEVUE PARKWAY
		STREET 2:		MUTUAL FUND DEPARTMENT
		CITY:			WILMINGTON
		STATE:			DE
		ZIP:			19809

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	BLACKSTONE INCOME TRUST INC
		DATE OF NAME CHANGE:	19920703
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-Q
<SEQUENCE>1
<FILENAME>c50344_n-q.htm
<TEXT>

<HTML>
<HEAD>
   <TITLE>c50344_n-q.htm -- Converted by SEC Publisher, created by BCL Technologies Inc., for SEC Filing</TITLE>
</HEAD>

<BODY bgcolor="#ffffff">



<P align="center">
<FONT face="serif">UNITED STATES </FONT><BR>
<FONT face="serif"> SECURITIES AND EXCHANGE COMMISSION</FONT><BR>
<FONT face="serif">Washington, D.C. 20549 </FONT><BR>
<BR>
<B><FONT face="serif">FORM N-Q </FONT></B><BR>
<BR>
<B><FONT face="serif">QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED </FONT></B><BR>
<B><FONT face="serif">MANAGEMENT INVESTMENT COMPANY </FONT></B></P>
<P align="left">
<FONT size=2 face="serif">Investment Company Act file number 811-05542 </FONT><BR>
<BR>
<FONT size=2 face="serif">Name of Fund: BlackRock Income Trust, Inc. </FONT><BR>
<BR>
<FONT size=2 face="serif">Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809 </FONT><BR>
<BR>
<FONT size=2 face="serif">Name and address of agent for service: Robert S. Kapito,
President, BlackRock Income Trust, Inc., <br>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 East 52<SUP>nd</SUP> Street,
New York, NY 10022. </FONT><BR>
<BR>
<FONT size=2 face="serif">Registrant&#146;s telephone number, including area code: (888) 825-2257 </FONT><BR>
<BR>
<FONT size=2 face="serif">Date of fiscal year end: 10/31/2007 </FONT><BR>
<BR>
<FONT size=2 face="serif">Date of reporting period: 05/01/2007 &#150; 07/31/2007 </FONT><BR>
<BR>
</P>

<HR noshade width="100%" size=4>



<P STYLE="page-break-before:always"></P><PAGE><br>

<P align="left"><B><FONT size=2 face="serif">Item 1 &#150; Schedule of Investments </FONT></B></P>
<P align="left"><B><FONT face="serif">PORTFOLIO OF INVESTMENTS (unaudited) </FONT></B><BR>
  <B><FONT face="serif">JULY 31, 2007</FONT></B><BR>
  <B><FONT face="serif">BlackRock Income Trust Inc. (BKT)</FONT></B><B><FONT face="serif"> </FONT></B><BR>
  <B><FONT size=2 face="serif">(Percentages shown are based on Net Assets) </FONT></B></P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
  <TR valign="bottom">
    <TD align=center nowrap colspan=2><B><FONT size=2 face="serif">Principal</FONT></B></TD>
    <TD width="3%"></TD>
    <TD align=left nowrap></TD>
    <TD width="1%" align=left nowrap></TD>
    <TD align=left nowrap></TD>
    <TD></TD>
  </TR>
  <TR valign="bottom">
    <TD align=center nowrap colspan=2><B><FONT size=2 face="serif">Amount</FONT></B></TD>
    <TD width="3%"></TD>
    <TD align=left nowrap></TD>
    <TD width="1%" align=left nowrap></TD>
    <TD align=left nowrap></TD>
    <TD></TD>
  </TR>
  <TR valign="bottom">
    <TD colspan="2" align=center nowrap style="border-bottom:1px solid #000000;"><B><FONT size=2 face="serif">(000)</FONT></B></TD>
    <TD width="3%"style="border-bottom:1px solid #000000"><p><font size=1>&nbsp;</font></p></TD>
    <TD align=left nowrap style="border-bottom:1px solid #000000;"><div align="center"><B><FONT size=2 face="serif">Description</FONT></B></div></TD>
    <TD width="1%" align=center nowrap style="border-bottom:1px solid #000000;"><P><font size=1>&nbsp;</font></P></TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><B><FONT size=2 face="serif">Value</FONT></B></TD>
    <TD style="border-bottom:1px solid #000000"><P><font size=1>&nbsp;</font></P></TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD width="6%" align=left nowrap></TD>
    <TD width="1%" align=left nowrap></TD>
    <TD width="3%"></TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">LONG-TERM INVESTMENTS&#151;138.7%</FONT></B></TD>
    <TD width="1%" align=left nowrap></TD>
    <TD width="6%" align=left nowrap></TD>
    <TD width="1%"></TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">Mortgage Pass-Through
          Securities&#151;60.7%</FONT></B></TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Federal Home Loan Mortgage
        Corp.,</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;775</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1,2</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">4.019%, 1/01/35</FONT> </TD>
    <TD width="1%" nowrap><FONT size=2 face="serif">$</FONT> </TD>
    <TD align=right nowrap><FONT size=2 face="serif">765,572</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">806</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1,2</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">4.934%, 10/01/34</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">796,681</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">9,405</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">5.50%, 12/01/21-3/01/22</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">9,290,249</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">28</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">6.01%, 11/01/17</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">27,886</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">70</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">6.50%, 5/01/29-5/01/30</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">71,581</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">18</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">8.00%, 11/01/15</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">18,283</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">8.50%, 3/01/08</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">46</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">130</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">9.00%, 9/01/20</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">138,971</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Federal National Mortgage
        Assoc.,</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">54,847</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">5.00%, 6/01/33-7/01/37</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">51,544,342</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">151,255</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">5.50%, 6/01/21-7/01/37</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">146,660,935</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">3,125</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">5.97%, 8/01/16</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">3,210,575</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">9,066</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">6.00%, 4/01/35-7/01/37</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">8,985,564</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">15,193</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">2</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">6.50%, 5/01/31-11/01/36</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">15,368,680</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">7.50%, 2/01/22</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">244</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">51</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">8.00%, 5/01/08-5/01/22</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">50,724</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">4</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">9.50%, 1/01/19-9/01/19</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">4,201</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">12,000</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">TBA, 6.00%,
        8/14/37</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">11,889,374</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Government National Mortgage
        Assoc.,</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">38</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">7.00%, 10/15/17</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">39,622</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">420</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">7.50%, 8/15/21-12/15/23</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">437,793</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">220</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">8.00%, 10/15/22-2/15/29</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">235,617</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">20</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">9.00%, 6/15/18-9/15/21</FONT> </TD>
    <TD width="1%" align=right nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">22,341</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Total Mortgage Pass-Through
        Securities</FONT> </TD>
    <TD width="1%" align=right nowrap style="border-bottom:1px solid #000000">&nbsp;</TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">249,559,281</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">Federal Housing Administration
          Securities&#151;1.8%</FONT></B></TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">General Motors Acceptance
        Corp. Projects,</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">290</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">3</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 51, 7.43%,
        2/01/23</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">291,453</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">362</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 56, 7.43%,
        11/01/22</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">363,247</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">50</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">4</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Merrill Projects, Ser. 54,
        7.43%, 5/15/23</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">50,148</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">772</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Reilly Project, Ser. 41,
        8.28%, 3/01/20</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">773,272</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">USGI Projects,</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">89</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 87, 7.43%,
        12/01/22</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">89,010</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">333</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 99, 7.43%,
        10/01/23</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">334,285</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">5,507</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 6094, 7.43%,
        6/01/21</FONT> </TD>
    <TD width="1%" align=right nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">5,527,535</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Total Federal Housing Administration
        Securities</FONT> </TD>
    <TD width="1%" align=right nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">7,428,950</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">Agency Multiple Class
          Mortgage Pass-Through Securities&#151;27.5%</FONT></B></TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Federal Home Loan Mortgage
        Corp.,</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">4,304</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 11, Class
        A9, 2.276%, 1/25/28</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">3,742,445</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">192</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 19, Class
        F, 8.50%, 3/15/20</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">191,638</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">778</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 40, Class
        K, 6.50%, 8/17/24</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">797,210</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 192, Class
        U, 1009.033%, 2/15/22</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">8</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1057, Class
        J, 10.08%, 3/15/21</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,623</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">2,291</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1598, Class
        J, 6.50%, 10/15/08</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">2,285,155</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">390</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1961, Class
        H, 6.50%, 5/15/12</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">392,633</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">9,305</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2218, Class
        Z, 8.50%, 3/15/30</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">9,974,709</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">13,562</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2461, Class
        Z, 6.50%, 6/15/32</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">13,952,196</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">10,200</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2542, Class
        UC, 6.00%, 12/15/22</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">10,401,499</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">2,475</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2562, Class
        PG, 5.00%, 1/15/18</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">2,418,904</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">928</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2564, Class
        NC, 5.00%, 2/15/33</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">897,359</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">2,050</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2750, Class
        TC, 5.25%, 2/15/34</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,993,654</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">11,574</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2758, Class
        KV, 5.50%, 5/15/23</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">11,432,517</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">1,573</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2765, Class
        UA, 4.00%, 3/15/11</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,504,396</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">3,257</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2806, Class
        VC, 6.00%, 12/15/19</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">3,312,200</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">2,369</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap bgcolor="#E6E6E6">&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2927, Class
        BZ, 5.50%, 2/15/35</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">2,151,227</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">4,419</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 3061, Class
        BD, 7.50%, 11/15/35</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">4,542,518</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Federal National Mortgage
        Assoc.,</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">1,229</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2, Class
        KP, 1.133%, 2/25/35</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,195,313</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">4,486</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 28, Class
        PB, 6.00%, 8/25/28</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">4,500,620</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">2,211</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 29, Class
        HC, 7.50%, 7/25/30</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">2,336,680</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">2,337</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 31, Class
        ZG, 7.50%, 5/25/34</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">2,728,973</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">7,326</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 32, Class
        VT, 6.00%, 9/25/15</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">7,427,776</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">1</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 33, Class
        PV, 1,078.42%, 10/25/21</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">19,441</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">57</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 38, Class
        F, 8.325%, 4/25/21</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">58,974</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">2,544</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 38, Class
        Z, 5.00%, 5/25/36</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">2,523,004</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">2,766</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 68, Class
        PC, 5.50%, 7/25/35</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">2,774,396</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">12,264</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 135, Class
        PB, 6.00%, 1/25/34</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">12,099,201</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Government National Mortgage
        Assoc.,</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">1,098</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 5, Class
        Z, 7.00%, 5/16/26</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,140,542</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">1,832</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 33, Class
        PB, 6.50%, 7/20/31</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,867,512</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">4,190</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 89, Class
        PE, 6.00%, 10/20/34</FONT> </TD>
    <TD width="1%" align=right nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">4,254,938</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Total Agency Multiple Class
        Mortgage Pass-Through Securities</FONT> </TD>
    <TD width="1%" align=right nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">112,919,261</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">Non-Agency Multiple Class
          Mortgage Pass-Through Securities&#151;9.6%</FONT></B></TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">6,251</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">CWALT, Inc., Ser. 28CB, Class
        1A5, 5.50%, 8/25/35</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">6,233,267</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">6,557</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">JPMorgan Mortgage Trust,
        Ser. S1, Class 2A1, 8.00%, 1/25/35</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">6,885,295</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">1,643</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">MASTR Alternative Loan Trust,
        Ser. 7, Class 4A3, 8.00%, 11/25/18</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,731,229</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">7,709</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">MASTR Asset Securitization
        Trust, Ser. 12, Class 3A5, 5.25%, 10/25/14</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">7,556,788</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">5,926</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Residential Asset Securitization
        Trust, Ser. A8, Class A2, 5.67%, 10/25/18</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">5,911,571</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">10,237</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Residential Funding Securities
        Corp., Ser. RM2, Class AI5, 8.50%, 5/25/33</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">10,968,014</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">17</FONT><SUP></SUP> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1,5</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Summit Mortgage Trust, Ser.
        1, Class B1, 6.604%, 12/28/12</FONT> </TD>
    <TD width="1%" align=right nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">17,417</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Total Non-Agency Multiple
        Class Mortgage Pass-Through Securities</FONT> </TD>
    <TD width="1%" align=right nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">39,303,581</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">Inverse Floating Rate
          Mortgage Securities&#151;3.8%</FONT></B></TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Federal Home Loan Mortgage
        Corp.,</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">15</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1043, Class
        H, 20.813%, 2/15/21</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">14,758</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1148, Class
        E, 563.074%, 10/15/21</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">565</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">32</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1160, Class
        F, 17.319%, 10/15/21</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">32,315</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">127</FONT></TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1,6</FONT></SUP> </TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1616, Class
        SB, 8.50%, 11/15/08</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">125,971</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">319</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1688, Class
        S, 8.777%, 12/15/13</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">318,146</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">4,397</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2769, Class
        SQ, Zero Coupon, 2/15/34</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">2,369,637</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">2,179</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2840, Class
        SK, 0.66%, 8/15/34</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,350,949</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">2,666</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 3167, Class
        SX, 5.58%, 6/15/36</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">2,538,659</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Federal National Mortgage
        Assoc.,</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 7, Class
        S, 541.833%, 3/25/21</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">6,547</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">1</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 10, Class
        S, 524.318%, 5/25/21</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">19,421</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">1</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 12, Class
        S, 553.577%, 5/25/21</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">16,389</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">1</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 17, Class
        S, 531.967%, 6/25/21</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">9,916</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">57</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 38, Class
        SA, 10.186%, 4/25/21</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">60,244</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 46, Class
        S, 1295.281%, 5/25/21</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">7,568</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 49, Class
        S, 479.05%, 12/25/21</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">3,432</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">148</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 72, Class
        S, 8.75%, 5/25/08</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">147,289</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">6,053</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 73, Class
        DS, 3.718%, 8/25/35</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">5,538,112</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">128</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 87, Class
        S, 12.522%, 8/25/21</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">150,999</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">47</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 93, Class
        S, 8.50%, 5/25/08</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">46,049</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">20</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 170, Class
        SC, 9.00%, 9/25/08</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">19,502</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">310</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 196, Class
        SC, 7.653%, 10/25/08</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">305,407</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">144</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 214, Class
        SH, 4.359%, 12/25/08</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">142,834</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">939</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 247, Class
        SN, 10.00%, 12/25/23</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,026,466</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">First Horizon Alternative
        Mortgage Securities,</FONT> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">75,184</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. FA7, Class
        1A7, Zero Coupon, 10/25/35</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">237,935</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">185,684</FONT> </TD>
    <TD width="1%" align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%">&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. FA9, Class
        A2, Zero Coupon, 12/25/35</FONT> </TD>
    <TD width="1%" align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">646,142</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
</TABLE>
<BR>
<P align="center">
<FONT size=2 face="serif">1 </FONT></P>

<HR noshade width="100%" size=4>



<P STYLE="page-break-before:always"></P><PAGE><br>

<P align="left">
<B><FONT face="serif">BlackRock Income Trust Inc. (BKT) (continued)</FONT></B><B><FONT face="serif"> </FONT></B><BR>
<B><FONT size=2 face="sans-serif">(</FONT></B><B><FONT size=2 face="serif">Percentages shown are based on Net Assets)</FONT></B><B><FONT size=2 face="sans-serif"> </FONT></B></P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
  <TR valign="bottom">
    <TD align=center nowrap colspan=2><B><FONT size=2 face="serif">Principal</FONT></B></TD>
    <TD></TD>
    <TD align=left nowrap></TD>
    <TD align=left nowrap></TD>
    <TD align=left nowrap></TD>
    <TD></TD>
  </TR>
  <TR valign="bottom">
    <TD align=center nowrap colspan=2><B><FONT size=2 face="serif">Amount</FONT></B></TD>
    <TD></TD>
    <TD align=left nowrap></TD>
    <TD align=left nowrap></TD>
    <TD align=left nowrap></TD>
    <TD></TD>
  </TR>
  <TR valign="bottom">
    <TD colspan="2" align=center nowrap style="border-bottom:1px solid #000000;"><B><FONT size=2 face="serif">(000)</FONT></B></TD>
    <TD style="border-bottom:1px solid #000000"><p><font size=1>&nbsp;</font></p></TD>
    <TD align=left nowrap style="border-bottom:1px solid #000000;"><div align="center"><B><FONT size=2 face="serif">Description</FONT></B></div></TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><P><font size=1>&nbsp;</font></P></TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><B><FONT size=2 face="serif">Value</FONT></B></TD>
    <TD style="border-bottom:1px solid #000000"><P><font size=1>&nbsp;</font></P></TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD width="6%" align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">Inverse Floating Rate
          Mortgage Securities &#151; (cont'd)</FONT></B> </TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="6%" align=left nowrap>&nbsp;</TD>
    <TD width="1%">&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;115</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Kidder Peabody Acceptance
        Corp., Ser. 1, Class A6, 6.741%, 8/25/23</FONT> </TD>
    <TD nowrap><FONT size=2 face="serif">$</FONT> </TD>
    <TD align=right nowrap><FONT size=2 face="serif">114,936</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">148,945</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Residential Accredit Loans,
        Inc., Ser. QS16, Class A2, Zero Coupon, 11/25/35</FONT> </TD>
    <TD align=left nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">214,377</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Total Inverse Floating Rate
        Mortgage Securities</FONT> </TD>
    <TD align=left nowrap style="border-bottom:1px solid #000000">&nbsp;</TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">15,464,566</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">Interest Only Asset-Backed
          Securities&#151;0.4%</FONT></B> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">113,632</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Banc of America Funding Corp.,
        Ser. 2, Class 1A19, 0.08%, 3/25/37</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">635,781</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">471</FONT></TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1,5</FONT></SUP></TD>
    <TD width="3%" align=center nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Morgan Stanley Capital Trust
        I, Ser. HF1, Class X, 1.803%, 6/15/17</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">61</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Sterling COOFS Trust,</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">19,001</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1, 2.365%,
        4/15/29</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">843,175</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">13,567</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2, 2.081%,
        3/30/30</FONT> </TD>
    <TD align=left nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">364,615</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Total Interest Only Asset-Backed
        Securities</FONT> </TD>
    <TD align=left nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">1,843,632</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">Interest Only Mortgage-Backed
          Securities&#151;12.6%</FONT></B> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">1,293</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">ABN Amro Mortgage Corp.,
        Ser. 4, Class A2, 5.50%, 3/25/33</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">37,206</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">233,165</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Banc of America Mortgage
        Securities, Inc., Ser. 3, Class 1A, 0.285%, 5/25/18</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">2,236,001</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">146,349</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">CWALT, Inc., Ser. 79CB, Class
        A2, 5.50%, 1/25/36</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">509,060</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">41,359</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Commercial Mortgage Acceptance
        Corp., Ser. ML1, 0.731%, 11/15/17</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">719,424</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">5,857</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1,5</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Credit Suisse First Boston
        Mortgage Securities Corp., Ser. C1, Class AX, 1.478%, 6/20/29</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">328,765</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Federal Home Loan Mortgage
        Corp.,</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">2,831</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 60, Class
        HS, 0.625%, 4/25/24</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">14,689</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 176, Class
        M, 1,010.00%, 7/15/21</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">72</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 200, Class
        R, 93,495.97%, 12/15/22</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">350</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">1,791</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 204, Class
        IO, 6.00%, 5/01/29</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">440,598</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1054, Class
        I, 413.56%, 3/15/21</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">213</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1056, Class
        KD, 1,084.50%, 3/15/21</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,247</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1179, Class
        O, 1,009.389%, 11/15/21</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">92</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">194</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1706, Class
        IA, 7.00%, 10/15/23</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">9,048</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">69</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1720, Class
        PK, 7.50%, 1/15/24</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">4,553</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">3,032</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1914, Class
        PC, 0.75%, 12/15/11</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">32,310</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">765</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2296, Class
        SA, 2.43%, 3/15/16</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">40,255</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">394</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2444, Class
        ST, 2.65%, 9/15/29</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">12,969</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">40</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2513, Class
        BI, 5.50%, 12/15/15</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">101</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">1,478</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2542, Class
        MX, 5.50%, 5/15/22</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">246,091</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">2,713</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2545, Class
        NI, 5.50%, 3/15/22</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">366,928</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">508</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2559, Class
        IO, 0.50%, 8/15/30</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">7,749</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">4,389</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2561, Class
        EW, 5.00%, 9/15/16</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">394,360</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">10,897</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2611, Class
        QI, 5.50%, 9/15/32</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,986,608</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">1,901</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2633, Class
        PI, 4.50%, 3/15/12</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">18,428</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">16,307</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2647, Class
        IV, 0.45%, 7/15/33</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,029,359</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">3,356</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2653, Class
        MI, 5.00%, 4/15/26</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">343,969</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">4,620</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2658, Class
        PI, 4.50%, 6/15/13</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">129,974</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">3,508</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2672, Class
        TQ, 5.00%, 3/15/23</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">91,815</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">3,633</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2687, Class
        IL, 5.00%, 9/15/18</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">393,793</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">2,965</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2687, Class
        IQ, 5.50%, 9/15/22</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">26,016</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">3,949</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2693, Class
        IB, 4.50%, 6/15/13</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">110,654</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">2,595</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2694, Class
        LI, 4.50%, 7/15/19</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">194,026</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">4,872</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2773, Class
        OX, 5.00%, 2/15/18</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">582,272</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">16,691</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2780, Class
        SM, 0.68%, 4/15/34</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">182,772</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">6,727</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2825, Class
        NI, 5.50%, 3/15/30</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,602,356</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">10,702</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2827, Class
        SR, 0.68%, 1/15/22</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">197,963</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">17,582</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2865, Class
        SR, 0.405%, 10/15/33</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">664,613</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">11,907</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2865, Class
        SV, 0.584%, 10/15/33</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">887,274</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">1,823</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2949, Class
        IO, 5.50%, 3/15/35</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">316,457</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">34,259</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2990, Class
        WR, 1.306%, 6/15/35</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,533,000</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">97,890</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 3122, Class
        IS, 1.38%, 3/15/36</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">4,918,011</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">93,037</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap bgcolor="#E6E6E6">&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 3225, Class
        EY, 0.97%, 10/15/36</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">3,799,186</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">3,658</FONT> </TD>
    <TD align=right nowrap>&nbsp;</TD>
    <TD width="3%" align=right nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 3299, Class
        TI, 5.00%, 4/15/37</FONT> </TD>
    <TD align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">745,244</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Federal National Mortgage
        Assoc.,</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">211</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 5, Class
        H, 9.00%, 1/25/22</FONT> </TD>
    <TD align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">44,165</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">11</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 7, Class
        2, 8.50%, 4/01/17</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">2,222</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">4,195</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 9, Class
        BI, 5.50%, 10/25/22</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">622,348</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">1</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 12, Class
        C, 1,016.897%, 2/25/22</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">14,915</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">4,127</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 13, Class
        IG, 5.00%, 10/25/22</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">130,030</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">978</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 16, Class
        PI, 5.00%, 11/25/12</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">2,459</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">935</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 33, Class
        SG, 2.756%, 3/25/09</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">17,693</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">51,767</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 36, Class
        SP, 1.38%, 5/25/36</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">2,840,125</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 38, Class
        N, 1,008.50%, 4/25/21</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">530</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">837</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 43, Class
        LC, 6.00%, 3/25/34</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">331,152</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 50, Class
        G, 1,158.628%, 12/25/21</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">9,149</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">717</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 50, Class
        SI, 1.20%, 4/25/23</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">18,280</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">3,754</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 51, Class
        IE, 5.50%, 4/25/26</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">108,082</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">5,687</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 55, Class
        GI, 5.00%, 7/25/19</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">512,521</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">12,712</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 55, Class
        SB, 0.83%, 7/25/35</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">415,264</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">3,842</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 59, Class
        S, 5.017%, 10/25/22</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">588,844</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">610</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 60, Class
        SB, 1.60%, 10/25/22</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">29,585</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">227</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 62, Class
        IC, 5.50%, 7/25/15</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">3,891</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">5,737</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 66, Class
        CI, 5.00%, 7/25/33</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,370,705</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">2,097</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 68, Class
        SC, 2.756%, 1/25/24</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">90,741</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">14,270</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 73, Class
        ST, 0.81%, 8/25/35</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">439,460</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">4,949</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 88, Class
        TI, 4.50%, 11/25/13</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">156,275</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">22</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 89, Class
        2, 8.00%, 6/01/18</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">4,739</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">31,247</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 90, Class
        JH, 1.38%, 11/25/34</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,363,005</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">13,649</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 90, Class
        M, 6.00%, 1/25/28</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">2,731,627</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">7</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 94, Class
        2, 9.50%, 8/01/21</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,589</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 99, Class
        L, 9.30%, 8/25/21</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">6,287</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">3,741</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 122, Class
        IC, 5.00%, 9/25/18</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">422,303</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 123, Class
        M, 1,009.50%, 10/25/20</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,137</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">26</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 136, Class
        S, 14.746%, 11/25/20</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">32,837</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 139, Class
        PT, 648.35%, 10/25/21</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">7,480</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">2,253</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 199, Class
        SB, 2.156%, 10/25/23</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">111,129</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">654</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. W4, Class
        IO, 6.50%, 12/25/28</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">153,965</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">92</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">First Boston Mortgage Securities
        Corp., Ser. C, Class I, 10.965%, 4/25/17</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">26,575</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">45,057</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">First Horizon Alternative
        Mortgage Securities, Ser. FA2, Class 1A4, 0.18%, 5/25/36</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">467,911</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">9,015</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">General Motors Acceptance
        Corp., Commercial Mortgage Securities, Inc., Ser. C1, Class X, 1.322%,
        7/15/27</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">356,673</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">8,400</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1,5</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Goldman Sachs Mortgage Securities
        Corp., Ser. 5, 0.977%, 2/19/25</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">175,709</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Government National Mortgage
        Assoc.,</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">17,433</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 18, Class
        SL, 0.88%, 2/20/35</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">410,596</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">1,769</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 39, Class
        ID, 5.00%, 5/20/33</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">471,452</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">2,068</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 58, Class
        IT, 5.50%, 7/20/33</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">318,685</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">3,213</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 75, Class
        IJ, 5.50%, 7/20/25</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">40,442</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">17,455</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 89, Classl
        SA, 0.58%, 10/16/33</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">467,747</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">157,532</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Indymac Index Mortgage Loan
        Trust, Ser. AR33, Class 4AX, 0.165%, 1/25/37</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">740,603</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">59</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Kidder Peabody Acceptance
        Corp., Ser. B, Class A2, 9.50%, 4/22/18</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">13,744</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">25,566</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">MASTR Adjustable Rate Mortgages
        Trust, Ser. 3, Class 3AX, 0.977%, 4/25/34</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">406,540</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">1,390</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">MASTR Alternative Loan Trust,
        Ser. 9, Class 15X2, 6.00%, 1/25/19</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">251,720</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">1,682</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Morgan Stanley Capital Trust
        I, Ser. 3, Class 1AX, 5.00%, 5/25/19</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">251,021</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">72,917</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Sequoia Mortgage Trust, Ser.
        2, Class XA, 1.001%, 3/20/35</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,458,347</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">7,348</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">3</FONT></SUP></TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Small Business Administration,
        Ser. 1, 1.381%, 4/01/15</FONT> </TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">73,480</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
</TABLE>
<BR>
<P align="center">
<FONT size=2 face="serif">2 </FONT></P>

<HR noshade width="100%" size=4>



<P STYLE="page-break-before:always"></P><PAGE><br>

<P align="left">
<B><FONT face="serif">BlackRock Income Trust Inc. (BKT) (continued)</FONT></B><B><FONT face="serif"> </FONT></B><BR>
<B><FONT size=2 face="sans-serif">(</FONT></B><B><FONT size=2 face="serif">Percentages shown are based on Net Assets)</FONT></B><B><FONT size=2 face="sans-serif"> </FONT></B></P>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
  <TR valign="bottom">
    <TD align=center nowrap colspan=2><B><FONT size=2 face="serif">Principal</FONT></B></TD>
    <TD width="3%"></TD>
    <TD align=left nowrap></TD>
    <TD align=left nowrap></TD>
    <TD align=left nowrap></TD>
    <TD></TD>
  </TR>
  <TR valign="bottom">
    <TD align=center nowrap colspan=2><B><FONT size=2 face="serif">Amount</FONT></B></TD>
    <TD width="3%"></TD>
    <TD align=left nowrap></TD>
    <TD align=left nowrap></TD>
    <TD align=left nowrap></TD>
    <TD></TD>
  </TR>
  <TR valign="bottom">
    <TD colspan="2" align=center nowrap style="border-bottom:1px solid #000000;"><B><FONT size=2 face="serif">(000)</FONT></B></TD>
    <TD width="3%" style="border-bottom:1px solid #000000"><p><font size=1>&nbsp;</font></p>
    <TD align=left nowrap style="border-bottom:1px solid #000000;"><div align="center"><B><FONT size=2 face="serif">Description</FONT></B></div></TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><P><font size=1>&nbsp;</font></P></TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><B><FONT size=2 face="serif">Value</FONT></B></TD>
    <TD style="border-bottom:1px solid #000000"><P><font size=1>&nbsp;</font></P></TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">Interest Only Mortgage-Backed
          Securities&#151; (cont'd)</FONT></B></TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Structured Adjustable Rate
        Mortgage Loan Trust,</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15,184</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2, Class
        4AX, 5.50%, 3/25/36</FONT> </TD>
    <TD nowrap><FONT size=2 face="serif">$</FONT> </TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,664,871</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">45,748</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 7, Class
        3AS, 2.402%, 8/25/36</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">4,467,085</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">5,254</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 18, Class
        7AX, 5.50%, 9/25/35</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">787,909</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">4,242</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 20, Class
        3AX, 5.50%, 10/25/35</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">793,561</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">89,644</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Vendee Mortgage Trust, Ser.
        2, Class 1, 0.053%, 5/15/29</FONT> </TD>
    <TD align=LEFt nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">226,136</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Total Interest Only Mortgage-Backed
        Securities</FONT> </TD>
    <TD align=LEFt nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">51,611,211</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">Principal Only Mortgage-Backed
          Securities&#151;5.1%</FONT></B></TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Countrywide Home Loans, Inc.,</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">5,522</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 26, 4.944%,
        8/25/33</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">4,260,758</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">1,055</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. J4, 5.142%,
        6/25/33</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">798,104</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">1,471</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. J5, 4.911%,
        7/25/33</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,193,725</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">1,169</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. J8, 4.787%,
        9/25/23</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">908,356</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Drexel Burnham Lambert, Inc.,</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">23</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. K, Class
        1, 11.50%, 9/23/17</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">22,951</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">285</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. V, Class
        1, 11.50%, 9/01/18</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">250,101</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Federal Home Loan Mortgage
        Corp.,</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">246</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 8, Class
        A10, 6.737%, 11/15/28</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">214,300</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">159</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1418, Class
        M, 7.50%, 11/15/22</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">145,931</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">577</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1571, Class
        G, 7.50%, 8/15/23</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">513,865</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">2,118</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1691, Class
        B, 7.50%, 3/15/24</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,836,490</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">194</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 1739, Class
        B, 7.50%, 2/15/24</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">176,485</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Federal National Mortgage
        Assoc.,</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">310</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 2, Class
        KB, 8.00%, 1/25/23</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">252,226</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">44</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 7, Class
        J, 10.00%, 2/25/21</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">36,839</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">943</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 13, Class
        PR, 6.50%, 3/25/32</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">739,147</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">151</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 51, Class
        E, 8.00%, 2/25/23</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">127,303</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">25</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 70, Class
        A, 7.00%, 5/25/23</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">20,914</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">54</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 167, Class
        D, 8.50%, 10/25/17</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">50,615</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">46</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 203, Class
        1, 8.00%, 2/01/23</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">36,739</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">31</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 228, Class
        1, 7.00%, 5/01/23</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">24,504</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">1,976</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 249, Class
        B, 7.50%, 11/25/23</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,627,533</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">244</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 273, Class
        1, 7.00%, 7/01/26</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">189,848</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">4,579</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 328, Class
        1, 6.00%, 11/01/32</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">3,381,440</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">3,695</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 338, Class
        1, 5.50%, 6/01/33</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">2,619,629</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">344</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. W4, Class
        PO, 5.985%, 2/25/29</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">259,923</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">314</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">MASTR Asset Securitization
        Trust, Ser. 3, Class 4A15, 5.634%, 3/25/34</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">161,315</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">983</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Residential Asset Securitization
        Trust, Ser. A15, Class 1A8, 5.713%, 2/25/36</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">499,150</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">12</FONT><SUP><FONT size=2 face="serif">3,7</FONT></SUP> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Structured Mortgage Asset
        Residential Trust, Ser. 3C, Class CX, 7.031%, 4/25/24</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">11,275</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">976</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">7</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Washington Mutual, Ser. 9,
        Class CP, 5.112%, 11/25/35</FONT> </TD>
    <TD align=LEFt nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">764,360</font></div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Total Principal Only Mortgage-Backed
        Securities</FONT> </TD>
    <TD align=LEFt nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">21,123,826</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">Collateralized Mortgage
          Obligation Residual Securities&#151;0.0%</FONT></B></TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Collateralized Mortgage Obligation
        Trust,</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 40, Class
        R, 580.50%, 4/01/18</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">309</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 42, Class
        R, 6,000.00%, 10/01/14</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">3,875</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Federal Home Loan Mortgage
        Corp.,</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 19, Class
        R, 14.13%, 3/15/20</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">3,161</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 75, Class
        R, 9.50%, 1/15/21</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">5</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 75, Class
        RS, 17.484%, 1/15/21</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">5</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 173, Class
        R, 9.00%, 11/15/21</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">23</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">&#151;</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 173, Class
        RS, 9.119%, 11/15/21</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">24</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">13</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Painewebber CMO Trust, Ser.
        88 M, Class 6, 13.80%, 9/01/18</FONT> </TD>
    <TD align=LEFt nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">&#151;</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Total Collateralized Mortgage
        Obligation Residual Securities</FONT> </TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">7,402</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD width="6%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">U.S. Government and Agency
          Securities&#151;15.2%</FONT></B></TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="6%" align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%" align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Overseas Private Investment
        Corp.,</FONT> </TD>
    <TD width="1%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="1%">&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">318</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">4.09%, 5/29/12</FONT> </TD>
    <TD align=right nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">296,313</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">890</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">4.30%, 5/29/12</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">856,655</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">668</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">4.64%, 5/29/12</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">651,367</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">377</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">4.68%, 5/29/12</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">353,001</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">2,858</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">4.87%, 5/29/12</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">2,814,630</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">3,554</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">5.40%, 5/29/12</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">3,701,753</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">13,000</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Resolution Funding Corp.,
        Ser. B, Zero Coupon, 4/15/30</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">4,119,947</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Small Business Administration,</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">688</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 20C-1,
        7.15%, 3/01/17</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">708,846</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">616</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 20E-1,
        7.60%, 5/01/16</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">637,260</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">816</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 20F-1,
        7.55%, 6/01/16</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">843,944</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">560</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 20G-1,
        7.70%, 7/01/16</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">580,617</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">1,010</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 20H-1,
        7.25%, 8/01/16</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,040,491</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">1,492</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Ser. 20K-1,
        6.95%, 11/01/16</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,532,792</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">19,400</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">6</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">U.S. Treasury Notes, 4.00%,
        8/31/07</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">19,381,803</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">60,000</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">6</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">U.S. Treasury Strip, Zero
        Coupon, 11/15/24</FONT> </TD>
    <TD align=LEFt nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">25,035,480</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Total U.S. Government and
        Agency Securities</FONT> </TD>
    <TD align=LEFt nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">62,554,899</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">Corporate Bond&#151;0.6%</FONT></B></TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">2,654</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">3</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Structured Asset Receivable
        Trust, 1.649%, 1/21/10</FONT> </TD>
    <TD align=LEFt nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">2,652,084</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">Commercial Mortgage-Backed
          Securities&#151;1.5%</FONT></B></TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">2,420</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">1</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Credit Suisse Mortgage Capital
        Certificates, Ser. C2, Class A3, 5.542%, 1/15/49</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">2,340,029</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">3,500</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">First Union Commercial Mortgage
        Securities, Inc., Ser. C2, Class D, 7.12%, 11/18/29</FONT> </TD>
    <TD align=LEFt nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">3,708,235</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Total Commercial Mortgage-Backed
        Securities</FONT> </TD>
    <TD align=LEFt nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">6,048,264</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">Total Long-Term Investments</FONT></B></TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">(cost $590,294,797)</FONT> </TD>
    <TD align=LEFt nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">570,516,957</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">SHORT-TERM INVESTMENTS&#151;6.0%</FONT></B></TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">U.S. Government and Agency
          Discount Notes&#151;6.0%</FONT></B></TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Federal Home Loan Bank Disc.
        Notes,</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">8,200</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">8</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">5.12%, 8/14/07</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">8,184,839</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">16,500</FONT> </TD>
    <TD align=left nowrap><SUP><FONT size=2 face="serif">8</FONT></SUP></TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">5.156%, 8/22/07</FONT> </TD>
    <TD align=LEFt nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">16,450,576</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">Total Short-Term Investments</FONT></B> <FONT size=2 face="serif">(cost
        $24,635,415)</FONT> </TD>
    <TD align=LEFt nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></TD>
    <TD align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">24,635,415</font> </div></TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=center nowrap><B><FONT size=2 face="serif">Contracts/</FONT></B></TD>
    <TD align=center nowrap></TD>
    <TD width="3%" align=center nowrap></TD>
    <TD align=left nowrap></TD>
    <TD align=LEFt nowrap></TD>
    <TD align=left nowrap></TD>
    <TD></TD>
  </TR>
  <TR valign="bottom">
    <TD align=center nowrap><B><FONT size=2 face="serif">Notional</FONT></B></TD>
    <TD align=center nowrap></TD>
    <TD width="3%" align=center nowrap></TD>
    <TD align=left nowrap></TD>
    <TD align=LEFt nowrap></TD>
    <TD align=left nowrap></TD>
    <TD></TD>
  </TR>
  <TR valign="bottom">
    <TD align=center nowrap><B><FONT size=2 face="serif">Amount</FONT></B></TD>
    <TD align=LEFt nowrap></TD>
    <TD width="3%" align=LEFt nowrap></TD>
    <TD align=left nowrap></TD>
    <TD align=LEFt nowrap></TD>
    <TD align=left nowrap></TD>
    <TD></TD>
  </TR>
  <TR valign="bottom">
    <TD align=CENTER nowrap style="border-bottom:1px solid #000000"><b><font size=2 face="serif">(000)</font></b></TD>
    <TD align=left nowrap></TD>
    <TD width="3%" align=left nowrap></TD>
    <TD align=left nowrap></TD>
    <TD align=LEFt nowrap></TD>
    <TD align=left nowrap></TD>
    <TD></TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><B><FONT size=2 face="serif">OUTSTANDING OPTIONS PURCHASED&#151;2.3%</FONT></B></TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD width="3%" align=left nowrap>&nbsp;</TD>
    <TD align=left nowrap><FONT size=2 face="serif">Interest Rate Swaps,</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp;</TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">7,300</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Trust pays 3-month
        LIBOR, Trust receives 5.39%, expires 3/19/12</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">240,097</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">31,965</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Trust pays 3-month
        LIBOR, Trust receives 5.495%, expires 5/08/12</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,129,963</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">5,500</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Trust pays 3-month
        LIBOR, Trust receives 5.52%, expires 9/21/36</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">284,405</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">31,965</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Trust pays 3-month
        LIBOR, Trust receives 5.725%, expires 5/24/12</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,628,936</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">8,640</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Trust pays 3-month
        LIBOR, Trust receives 6.025%, expires 12/12/12</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">426,125</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">8,640</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Trust pays 3-month
        LIBOR, Trust receives 6.025%, expires 6/08/12</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">362,880</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">7,300</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Trust pays 5.39%,
        Trust receives 3-month LIBOR, expires 3/19/12</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">454,425</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">24,800</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Trust pays 5.47%,
        Trust receives 3-month LIBOR, expires 5/08/12</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,171,304</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">31,965</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Trust pays 5.495%,
        Trust receives 3-month LIBOR, expires 5/08/12</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,878,263</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom">
    <TD align=right nowrap><FONT size=2 face="serif">5,500</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Trust pays 5.52%,
        Trust receives 3-month LIBOR, expires 9/21/36</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">435,474</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
  <TR valign="bottom" bgcolor="#E6E6E6">
    <TD align=right nowrap><FONT size=2 face="serif">31,965</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD width="3%" align=LEFt nowrap>&nbsp;</TD>
    <TD align=left nowrap>&nbsp; &nbsp;<FONT size=2 face="serif">Trust pays 5.725%,
        Trust receives 3-month LIBOR, expires 5/24/12</FONT> </TD>
    <TD align=LEFt nowrap>&nbsp;</TD>
    <TD align=right nowrap><FONT size=2 face="serif">1,306,729</FONT> </TD>
    <TD>&nbsp;</TD>
  </TR>
</TABLE>
<BR>
<P align="center">
<FONT size=2 face="serif">3 </FONT></P>

<HR noshade width="100%" size=4>



<P STYLE="page-break-before:always"></P><PAGE><br>

<P align="left">
<B><FONT face="serif">BlackRock Income Trust Inc. (BKT) (continued)</FONT></B><B><FONT face="serif"> </FONT></B><BR>
<B><FONT size=2 face="sans-serif">(</FONT></B><B><FONT size=2 face="serif">Percentages shown are based on Net Assets)</FONT></B><B><FONT size=2 face="sans-serif"> </FONT></B></P>
<table width="100%" border=0 cellpadding=0 cellspacing=0>
  <tr valign="bottom">
    <td align=center nowrap colspan=2><b><font size=2 face="serif">Contracts/</font></b></td>
    <td width="3%"></td>
    <td align=left nowrap></td>
    <td align=right nowrap></td>
    <td align=left nowrap></td>
    <td align=left nowrap></td>
  </tr>
  <tr valign="bottom">
    <td align=center nowrap colspan=2><b><font size=2 face="serif">Notional</font></b></td>
    <td width="3%"></td>
    <td align=left nowrap></td>
    <td align=right nowrap></td>
    <td align=left nowrap></td>
    <td align=left nowrap></td>
  </tr>
  <tr valign="bottom">
    <td align=center nowrap colspan=2><b><font size=2 face="serif">Amount</font></b></td>
    <td width="3%"></td>
    <td align=left nowrap></td>
    <td align=right nowrap></td>
    <td align=left nowrap></td>
    <td align=left nowrap></td>
  </tr>
  <tr valign="bottom">
    <td colspan="2" align=center nowrap style="border-bottom:1px solid #000000;"><b><font size=2 face="serif">(000)</font></b> <b><font size=2 face="serif"></font></b></td>
    <td width="3%" style="border-bottom:1px solid #000000"><P><font size=1>&nbsp;</font></P></td>
    <td nowrap style="border-bottom:1px solid #000000;"><div align="center"><b><font size=2 face="serif">Description</font></b></div></td>
    <td colspan="2" align=center nowrap style="border-bottom:1px solid #000000;"><b><font size=2 face="serif">Value</font></b></td>
    <td align=left nowrap style="border-bottom:1px solid #000000;"></td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td width="6%" align=left nowrap>&nbsp;</td>
    <td width="1%" align=left nowrap>&nbsp;</td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><b><font size=2 face="serif">OUTSTANDING OPTIONS PURCHASED&#151;(cont&#146;d)</font></b></td>
    <td width="1%" align=right nowrap>&nbsp;</td>
    <td width="6%" align=left nowrap>&nbsp;</td>
    <td width="1%" align=left nowrap>&nbsp;</td>
  </tr>
  <tr valign="bottom">
    <td align=right nowrap><font size=2 face="serif">9,100</font> </td>
    <td align=left nowrap>&nbsp;</td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Trust pays 5.90%, Trust receives
        3-month LIBOR, expires 8/31/07</font> </td>
    <td align=left nowrap><font size=2 face="serif">$</font> </td>
    <td align=right nowrap><font size=2 face="serif">6,643</font> </td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=right nowrap><font size=2 face="serif">342</font> </td>
    <td align=left nowrap>&nbsp;</td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap>&nbsp;<font size=2 face="serif">U.S. Treasury Notes
        Futures, expiring 8/24/07</font> </td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">37,406</font> </div></td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
  <tr valign="bottom">
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><b><font size=2 face="serif">Total Outstanding Options
          Purchased</font></b></td>
    <td align=right nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
  <tr valign="bottom">
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">(cost $8,102,642)</font> </td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">9,362,650</font> </div></td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=left nowrap style="border-bottom:1px solid #000000;">&nbsp;</td>
    <td align=left nowrap style="border-bottom:1px solid #000000;">&nbsp;</td>
    <td width="3%">&nbsp;</td>
    <td align=left><b><font size=2 face="serif">Total Investments before borrowed
          bonds, TBA sale commitments and outstanding options written </font></b><font size=2 face="serif">(cost&nbsp;$623,032,854</font><sup><font size=2 face="serif">9</font></sup><font size=2 face="serif">)</font> </td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">604,515,022</font> </div></td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
  <tr valign="bottom">
    <td align=center nowrap colspan=2><b><font size=2 face="serif">Principal</font></b></td>
    <td width="3%"></td>
    <td align=left nowrap></td>
    <td align=right nowrap></td>
    <td align=left nowrap></td>
    <td align=left nowrap></td>
  </tr>
  <tr valign="bottom">
    <td align=center nowrap colspan=2><b><font size=2 face="serif">Amount</font></b></td>
    <td width="3%"></td>
    <td align=left nowrap></td>
    <td align=right nowrap></td>
    <td align=left nowrap></td>
    <td align=left nowrap></td>
  </tr>
  <tr valign="bottom">
    <td colspan="2" align=center nowrap style="border-bottom:1px solid #000000;"><b><font size=2 face="serif">(000)</font></b> <b><font size=2 face="serif"></font></b></td>
    <td width="3%"></td>
    <td align=left nowrap></td>
    <td align=right nowrap></td>
    <td align=left nowrap></td>
    <td align=left nowrap></td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><b><font size=2 face="serif">BORROWED BOND&#151;8.5%</font></b></td>
    <td align=right nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
  <tr valign="bottom">
    <td align=right nowrap><font size=2 face="serif">$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34,721</font><sup></sup> </td>
    <td align=left nowrap><sup><font size=2 face="serif">10</font></sup></td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap>&nbsp;<font size=2 face="serif">U.S. Treasury Notes,
        5.10%, 5/31/12 (cost $34,720,656)</font> </td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">34,720,656</font> </div></td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><b><font size=2 face="serif">INVESTMENT SOLD SHORT&#151;(8.4)%</font></b></td>
    <td align=right nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
  <tr valign="bottom">
    <td align=right nowrap><font size=2 face="serif">(34,505</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap>&nbsp;<font size=2 face="serif">U.S. Treasury Notes,
        4.75%, 5/31/12 (proceeds $34,289,344)</font> </td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">(34,704,482</font> </div></td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><b><font size=2 face="serif">TBA SALE COMMITMENT&#151;(40.6)%</font></b></td>
    <td align=right nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
  <tr valign="bottom">
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Federal National Mortgage
        Assoc.,</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=right nowrap><font size=2 face="serif">(41,600</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap>&nbsp; &nbsp;<font size=2 face="serif">5.00%, 8/14/37</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(39,012,981</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom">
    <td align=right nowrap><font size=2 face="serif">(120,000</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap>&nbsp; &nbsp;<font size=2 face="serif">5.50%, 8/14/37</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(115,875,000</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=right nowrap><font size=2 face="serif">(12,000</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap>&nbsp; &nbsp;<font size=2 face="serif">6.00%, 8/14/37</font> </td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">(11,889,374</font> </div></td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom">
    <td align=left nowrap style="border-bottom:1px solid #000000;">&nbsp;</td>
    <td align=left nowrap style="border-bottom:1px solid #000000;">&nbsp;</td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><b><font size=2 face="serif">Total TBA Sale Commitments </font></b><font size=2 face="serif">(proceeds
        $154,181,750)</font> </td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">(166,777,355</font> </div></td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom">
    <td align=center nowrap colspan=2><b><font size=2 face="serif">Contracts/
          Notional</font></b></td>
    <td width="3%"></td>
    <td align=left nowrap></td>
    <td align=right nowrap></td>
    <td align=left nowrap></td>
    <td align=left nowrap></td>
  </tr>
  <tr valign="bottom">
    <td align=center nowrap colspan=2><b><font size=2 face="serif">Amount</font></b></td>
    <td width="3%"></td>
    <td align=left nowrap></td>
    <td align=right nowrap></td>
    <td align=left nowrap></td>
    <td align=left nowrap></td>
  </tr>
  <tr valign="bottom">
    <td colspan="2" align=center nowrap style="border-bottom:1px solid #000000;"><b><font size=2 face="serif">(000)</font></b> <b><font size=2 face="serif"></font></b></td>
    <td width="3%"></td>
    <td align=left nowrap></td>
    <td align=right nowrap></td>
    <td align=left nowrap></td>
    <td align=left nowrap></td>
  </tr>
  <tr valign="bottom">
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><b><font size=2 face="serif">OUTSTANDING OPTIONS WRITTEN&#151;(2.6)%</font></b></td>
    <td align=right nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=right nowrap><font size=2 face="serif">(28</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Eurodollar Future, expiring
        12/17/07</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(24,887</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom">
    <td align=right nowrap><font size=2 face="serif">(38</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Eurodollar Future, expiring
        3/17/08</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(39,750</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=right nowrap><font size=2 face="serif">(40</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Eurodollar Future, expiring
        9/17/07</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(29,000</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom">
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Interest Rate Swaps,</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=right nowrap><font size=2 face="serif">(5,700</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Trust pays 3-month LIBOR,
        Trust receives 5.135%, expires 4/21/08</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(232,047</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom">
    <td align=right nowrap><font size=2 face="serif">(7,300</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Trust pays 3-month LIBOR,
        Trust receives 5.148%, expires 3/19/08</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(294,482</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=right nowrap><font size=2 face="serif">(19,500</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Trust pays 3-month LIBOR,
        Trust receives 5.448%, expires 5/07/10</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(1,820,715</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom">
    <td align=right nowrap><font size=2 face="serif">(5,400</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Trust pays 3-month LIBOR,
        Trust receives 5.485%, expires 10/28/19</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(241,704</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=right nowrap><font size=2 face="serif">(12,400</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Trust pays 3-month LIBOR,
        Trust receives 5.67%, expires 1/04/10</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(494,177</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom">
    <td align=right nowrap><font size=2 face="serif">(19,495</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Trust pays 3-month LIBOR,
        Trust receives 5.685%, expires 5/24/10</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(1,490,393</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=right nowrap><font size=2 face="serif">(63,930</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Trust pays 3-month LIBOR,
        Trust receives 5.88%, expires 6/23/08</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(2,391,621</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom">
    <td align=right nowrap><font size=2 face="serif">(7,300</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Trust pays 5.115%, Trust
        receives 3-month LIBOR, expires 3/19/08</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(63,364</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=right nowrap><font size=2 face="serif">(5,700</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Trust pays 5.135%, Trust
        receives 3-month LIBOR, expires 4/21/08</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(55,951</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom">
    <td align=right nowrap><font size=2 face="serif">(19,500</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Trust pays 5.448%, Trust
        receives 3-month LIBOR, expires 5/07/10</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(928,980</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=right nowrap><font size=2 face="serif">(5,400</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Trust pays 5.485%, Trust
        receives 3-month LIBOR, expires 10/28/19</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(156,870</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom">
    <td align=right nowrap><font size=2 face="serif">(12,400</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Trust pays 5.67%, Trust receives
        3-month LIBOR, expires 1/04/10</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(434,174</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=right nowrap><font size=2 face="serif">(19,495</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Trust pays 5.685%, Trust
        receives 3-month LIBOR, expires 5/24/10</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(1,164,241</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom">
    <td align=right nowrap><font size=2 face="serif">(63,930</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Trust pays 5.88%, Trust receives
        3-month LIBOR, expires 6/23/08</font> </td>
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap><font size=2 face="serif">(935,296</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom">
    <td align=center nowrap colspan=2 style="border-bottom:1px solid #000000;">&nbsp;</td>
    <td>&nbsp;</td>
    <td nowrap>&nbsp;</td>
    <td colspan="2">&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
  <tr valign="bottom">
    <td align=center nowrap colspan=2 style="border-bottom:1px solid #000000;"><b><font size=2 face="serif">Contracts</font></b></td>
    <td width="3%">&nbsp;</td>
    <td nowrap>&nbsp;</td>
    <td colspan="2" align=center nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=right nowrap><font size=2 face="serif">(342</font> </td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap>&nbsp;<font size=2 face="serif">U.S. Treasury Notes
        Future, expiring 8/24/07</font> </td>
    <td align=left nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">$</font> </div></td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">(5,344</font> </div></td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom">
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><b><font size=2 face="serif">Total Outstanding Options
          Written</font></b></td>
    <td align=right nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">(premium received $9,919,772)</font> </td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">(10,802,996</font> </div></td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom">
    <td align=right nowrap>&nbsp;</td>
    <td align=right nowrap>&nbsp;</td>
    <td width="3%" align=right nowrap>&nbsp;</td>
    <td><b><font size=2 face="serif">Total Investments net of borrowed bonds,
          TBA sale commitments and outstanding options written&#151;103.9%</font></b></td>
    <td align=left nowrap><font size=2 face="serif">$</font> </td>
    <td align=right nowrap><font size=2 face="serif">426,950,845</font> </td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
  <tr valign="bottom" bgcolor="#E6E6E6">
    <td align=center nowrap colspan=2>&nbsp;</td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap><font size=2 face="serif">Liabilities in excess of
        other assets&#151;(3.9)%</font> </td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000">&nbsp;</div></td>
    <td align=right nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">(16,060,959</font> </div></td>
    <td align=left nowrap><font size=2 face="serif">)</font> </td>
  </tr>
  <tr valign="bottom">
    <td align=left nowrap colspan=2><b><font size=2 face="serif">Net Assets&#151;100%</font></b></td>
    <td width="3%">&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap><div style="border-bottom:3px double #000000"><font size=2 face="serif">$</font> </div></td>
    <td align=right nowrap><div style="border-bottom:3px double #000000"><font size=2 face="serif">410,889,886</font> </div></td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
</table>
<BR>
<TABLE border=0 cellspacing=0 cellpadding=0>
<TR>
	<TD nowrap valign=top>
<FONT size=2 face="serif">1&nbsp;&nbsp;&nbsp;</FONT></TD>
	<TD width=100%>
<FONT size=2 face="serif">Variable rate security. Rate shown is interest rate as of July 31, 2007.</FONT></TD>
</TR>
<TR><TD colspan=2 valign="top">&nbsp;</TD>
</TR><TR>
	<TD nowrap valign=top>
<FONT size=2 face="serif">2&nbsp;&nbsp;&nbsp;</FONT></TD>
	<TD width=100%>
<FONT size=2 face="serif">Entire or partial principal amount pledged as collateral for reverse repurchase agreements.</FONT></TD>
</TR>
<TR><TD colspan=2 valign="top">&nbsp;</TD>
</TR><TR>
	<TD nowrap valign=top>
<FONT size=2 face="serif">3&nbsp;&nbsp;&nbsp;</FONT></TD>
	<TD width=100%>
<FONT size=2 face="serif">Illiquid security. As of July 31, 2007, the Trust held 0.7% of its net assets, with a current market value of $3,028,292, in these securities.</FONT></TD>
</TR>
<TR><TD colspan=2 valign="top">&nbsp;</TD>
</TR><TR>
	<TD nowrap valign=top>
<FONT size=2 face="serif">4&nbsp;&nbsp;&nbsp;</FONT></TD>
	<TD width=100%>
<FONT size=2 face="serif">Represents an investment in an affiliate.</FONT></TD>
</TR>
<TR><TD colspan=2 valign="top">&nbsp;</TD>
</TR><TR>
	<TD nowrap valign=top>
<FONT size=2 face="serif">5&nbsp;&nbsp;&nbsp;</FONT></TD>
	<TD width=100%>
<FONT size=2 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 July 31, 2007, the Trust held
0.1% of its net assets, with a current market value of $521,952, in securities restricted as to resale.</FONT></TD>
</TR>
<TR><TD colspan=2 valign="top">&nbsp;</TD>
</TR><TR>
	<TD nowrap valign=top>
<FONT size=2 face="serif">6&nbsp;&nbsp;&nbsp;</FONT></TD>
	<TD width=100%>
<FONT size=2 face="serif">Security, or a portion thereof, pledged as collateral with a value of $7,781,185 on 270 long U.S. Treasury Note futures contracts expiring September 2007, 953 short Eurodollar futures contracts expiring September 2007 to
September 2009, 482 short U.S. Treasury Bond futures contracts expiring September 2007 and 1,942 short U.S. Treasury Note futures contracts expiring September 2007. The notional value of such contracts on July 31, 2007 was $648,486,219, with an
unrealized loss of $2,540,564.</FONT></TD>
</TR>
<TR><TD colspan=2 valign="top">&nbsp;</TD>
</TR><TR>
	<TD nowrap valign=top>
<FONT size=2 face="serif">7&nbsp;&nbsp;&nbsp;</FONT></TD>
	<TD width=100%>
<FONT size=2 face="serif">Rate shown is effective yield of the underlying collateral as of July 31, 2007.</FONT></TD>
</TR>
<TR><TD colspan=2 valign="top">&nbsp;</TD>
</TR><TR>
	<TD nowrap valign=top>
<FONT size=2 face="serif">8&nbsp;&nbsp;&nbsp;</FONT></TD>
	<TD width=100%>
<FONT size=2 face="serif">Rate shown is the yield to maturity as of the date of purchase.</FONT></TD>
</TR>
<TR><TD colspan=2 valign="top">&nbsp;</TD>
</TR><TR>
	<TD nowrap valign=top>
<FONT size=2 face="serif">9&nbsp;&nbsp;&nbsp;</FONT></TD>
	<TD width=100%>
<FONT size=2 face="serif">Cost for federal income tax purposes is $623,709,384. The net unrealized depreciation on a tax basis is $19,194,362, consisting of $17,085,635 gross unrealized appreciation and $36,279,997 gross unrealized
depreciation.</FONT></TD>
</TR>
<TR><TD colspan=2 valign="top">&nbsp;</TD>
</TR><TR>
	<TD nowrap valign=top>
<FONT size=2 face="serif">10&nbsp;&nbsp;&nbsp;</FONT></TD>
	<TD width=100%>
<FONT size=2 face="serif">The interest rate and maturity date shown represent the terms of the borrowed transaction, not the security borrowed.</FONT></TD>
</TR>
<TR><TD colspan=2>&nbsp;</TD></TR></TABLE>
<TABLE width="25%" border=0 align="center" cellpadding=0 cellspacing=0>
  <TR valign="bottom">
    <TD width=14% colspan="2" nowrap align="center"><B><FONT size=2 face="serif">KEY
          TO ABBREVIATIONS</FONT></B></TD>
  </TR>
  <TR valign="bottom">
    <TD align=right width=14% nowrap><FONT size=2 face="serif">COOFS&nbsp;&#151;&nbsp;</FONT> </TD>
    <TD align=left width=70% nowrap><FONT size=2 face="serif">Certificates and
        Confirmations of Originator Fees</FONT> </TD>
  </TR>
  <TR valign="bottom">
    <TD align=right width=14% nowrap><FONT size=2 face="serif">LIBOR&nbsp;&#151;&nbsp;</FONT> </TD>
    <TD align=left width=70% nowrap><FONT size=2 face="serif">London Interbank
        Offered Rate</FONT> </TD>
  </TR>
  <TR valign="bottom">
    <TD align=right width=14% nowrap><FONT size=2 face="serif">MASTR&nbsp;&#151;&nbsp;</FONT> </TD>
    <TD align=left width=70% nowrap><FONT size=2 face="serif">Mortgage Asset
        Securitization Transactions</FONT> </TD>
  </TR>
  <TR valign="bottom">
    <TD align=right width=14% nowrap><FONT size=2 face="serif">TBA&nbsp;&#151;&nbsp;</FONT> </TD>
    <TD align=left width=70% nowrap><FONT size=2 face="serif">To Be Announced</FONT> </TD>
  </TR>
</TABLE>
<BR>
<P align="center">
<FONT size=2 face="serif">4 </FONT></P>

<HR noshade width="100%" size=4>



<P STYLE="page-break-before:always"></P><PAGE><br>

<P align="left">
  <b><FONT size=2 face="serif">Item 2 &#150; Controls and Procedures </FONT></b></P>
<table width="100%"  border="0" cellspacing="0" cellpadding="0">
  <tr>
    <td width="5%" valign="top"><FONT size=2 face="serif">2(a) &#150; </FONT></TD>
    <td colspan="3"><FONT size=2 face="serif">The registrant&#146;s principal executive and
        principal financial officers or persons performing similar functions
        have concluded that the registrant&#146;s disclosure controls and procedures
        (as defined in Rule 30a-3(c) under the Investment Company Act of 1940,
        as amended (the &#147;1940 Act&#148;)) are effective as of a date within
        90 days of the filing of this report based on the evaluation of these
        controls and procedures required by Rule 30a-3(b) under the 1940 Act
        and Rule 13a-15(b) under the Securities and Exchange Act of 1934, as
    amended. </FONT></TD>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td colspan="3">&nbsp;</td>
  </tr>
  <tr>
    <td valign="top"><FONT size=2 face="serif">2(b) &#150; </FONT></TD>
    <td colspan="3"><FONT size=2 face="serif">There were no changes in the registrant&#146;s
        internal control over financial reporting (as defined in Rule 30a-3(d)
        under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant&#146;s
        last fiscal quarter that have materially affected, or are reasonably
        likely to materially affect, the registrant&#146;s internal control over
    financial reporting. </FONT></TD>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td colspan="3">&nbsp;</td>
  </tr>
  <tr>
    <td valign="top" nowrap><b><FONT size=2 face="serif">Item 3 &#150;&nbsp;</FONT></b></TD>
    <td colspan="3"><b><FONT size=2 face="serif">Exhibits </FONT></b></TD>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td colspan="3">&nbsp;</td>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td colspan="3"><P align="left"><FONT size=2 face="serif">Certifications &#150; Attached
          hereto </FONT></P>
      <P align="left"> <FONT size=2 face="serif">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></td>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td colspan="3">&nbsp;</td>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td colspan="3"><FONT size=2 face="serif">BlackRock Income Trust, Inc.</FONT> </td>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td colspan="3">&nbsp;</td>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td width="4%"><FONT size=2 face="serif">By:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT> </td>
    <TD width=18% align=left valign="bottom" nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">/s/
          Donald C. Burke,</font> </div></TD>
    <TD width=73% align=left valign="bottom" nowrap>&nbsp;</TD>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td>&nbsp;</td>
    <TD colspan="2" align=left valign="bottom" nowrap><FONT size=2 face="serif">Donald C.
    Burke,</FONT> </TD>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td>&nbsp;</td>
    <TD colspan="2" align=left valign="bottom" nowrap><FONT size=2 face="serif">Treasurer
        of</FONT> </TD>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td>&nbsp;</td>
    <TD colspan="2" align=left valign="bottom" nowrap><FONT size=2 face="serif">BlackRock
        Income Trust, Inc.</FONT> </TD>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td colspan="3">&nbsp;</td>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td colspan="3"><FONT size=2 face="serif">Date: September 20, 2007</FONT> </td>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td colspan="3">&nbsp;</td>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td colspan="3"><FONT size=2 face="serif">Pursuant to the requirements of
        the Securities Exchange Act of 1934 and the Investment Company Act of
        1940, this report has been signed below by the following persons on behalf
    of the registrant and in the capacities and on the dates indicated. </FONT></TD>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td colspan="3">&nbsp;</td>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td><FONT size=2 face="serif">By:</FONT> </td>
    <TD width=18% align=left valign="bottom" nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">/s/
          Robert S. Kapito,</font> </div></TD>
    <TD width=73% align=left valign="bottom" nowrap>&nbsp;</TD>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td>&nbsp;</td>
    <TD colspan="2" align=left valign="bottom" nowrap><FONT size=2 face="serif">Robert S.
    Kapito,</FONT> </TD>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td>&nbsp;</td>
    <TD colspan="2" align=left valign="bottom" nowrap><FONT size=2 face="serif">President
        (principal executive officer) of</FONT> </TD>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td>&nbsp;</td>
    <TD colspan="2" align=left valign="bottom" nowrap><FONT size=2 face="serif">BlackRock
        Income Trust, Inc.</FONT> </TD>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td>&nbsp;</td>
    <td colspan="2">&nbsp;</td>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td colspan="3"><FONT size=2 face="serif">Date: September 20, 2007</FONT> </td>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td>&nbsp;</td>
    <td colspan="2">&nbsp;</td>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td><FONT size=2 face="serif">By:</FONT></TD>
    <TD width=18% align=left valign="bottom" nowrap><div style="border-bottom:1px solid #000000"><font size=2 face="serif">/s/
          Donald C. Burke,</font> </div></TD>
    <TD width=73% align=left valign="bottom" nowrap>&nbsp;</TD>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td>&nbsp;</TD>
    <TD colspan="2" align=left valign="bottom" nowrap><FONT size=2 face="serif">Donald C.
    Burke,</FONT> </TD>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td>&nbsp;</td>
    <TD colspan="2" align=left valign="bottom" nowrap><FONT size=2 face="serif">Treasurer
        (principal financial officer) of</FONT> </TD>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td>&nbsp;</td>
    <TD colspan="2" align=left valign="bottom" nowrap><FONT size=2 face="serif">BlackRock
        Income Trust, Inc.</FONT> </TD>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td>&nbsp;</td>
    <TD colspan="2" align=left valign="bottom" nowrap>&nbsp;</TD>
  </tr>
  <tr>
    <td valign="top">&nbsp;</td>
    <td colspan="3"><FONT size=2 face="serif">Date: September
    20, 2007</FONT> </td>
  </tr>
</table>
<P><BR>
</P>
<HR noshade width="100%" size=4>


</BODY>

</HTML>

</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>c50344_ex99-cert.htm
<TEXT>

<HTML>
<HEAD>
   <TITLE>c50344_ex99-cert.htm -- Converted by SEC Publisher, created by BCL Technologies Inc., for SEC Filing</TITLE>
</HEAD>

<BODY bgcolor="#ffffff">





<P align="left">
<B><FONT size=2 face="serif">EX-99. CERT </FONT></B><BR>
<B><FONT size=2 face="serif">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF </FONT></B><BR>
<B><FONT size=2 face="serif">THE SARBANES-OXLEY ACT OF 2002 </FONT></B></P>
<hr size="1" noshade>

<P align="left">
<FONT size=2 face="serif">I, Robert S. Kapito, President (principal executive officer) of BlackRock Income Trust, Inc., certify that: </FONT></P>
<P align="left">
<FONT size=2 face="serif">1.</FONT><FONT size=2 face="sans-serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT><FONT size=2 face="serif">I have reviewed this report on Form N-Q of BlackRock Income Trust, Inc.; </FONT></P>
<P align="left">
<FONT size=2 face="serif">2.</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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 face="serif">3.</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Based on my knowledge, the schedules of investments included in this report, fairly present in all material respects the investments of the
registrant as of the end of the fiscal quarter for which the report is filed; </FONT></P>
<P align="left">
<FONT size=2 face="serif">4.</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: </FONT></P>
<div style="margin-left:23pt"><P align="left">
<FONT size=2 face="serif">a)</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">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 face="serif">b)</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our
supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; </FONT></P>
<P align="left">
<FONT size=2 face="serif">c)</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">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 face="serif">d)</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s
most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and </FONT></P></div>
<P align="left">
<FONT size=2 face="serif">5.</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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>

<div style="margin-left:23pt"><FONT size=2 face="serif">a)</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">all significant deficiencies and material weaknesses in the design or operation of internal control 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 face="serif">b)</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant&#146;s internal control
over financial reporting. </FONT></P></div>
<P align="left">
<FONT size=2 face="serif">Date: September 20, 2007</FONT><I><U><FONT size=2 face="serif"></FONT></U></I><FONT size=2 face="serif"> </FONT></P>

<table width="100%"  border="0" cellspacing="0" cellpadding="0">
  <tr>
    <td width="28%" style="border-bottom:1px solid #000000"><font size=2 face="serif">/s/
        Robert S. Kapito</font></td>
    <td width="72%">&nbsp;</td>
  </tr>
</table>
 <div><FONT size=2 face="serif">Robert S. Kapito,</FONT><BR>
  <FONT size=2 face="serif">President (principal executive officer) of</FONT><BR>
  <FONT size=2 face="serif">BlackRock Income Trust, Inc.</FONT></div>
  <br>
  <br>
  <HR noshade width="100%" size=4>



<P STYLE="page-break-before:always"></P><PAGE><br>


<P align="left">
<B><FONT size=2 face="serif">EX-99. CERT </FONT></B><BR>
<B><FONT size=2 face="serif">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE
1940 ACT AND SECTION 302 OF </FONT></B><BR>
<B><FONT size=2 face="serif">THE SARBANES-OXLEY ACT OF 2002 </FONT></B></P>
<hr size="1" noshade>
<P align="left">
<FONT size=2 face="serif">I, Donald C. Burke, Treasurer (principal financial officer) of BlackRock Income Trust, Inc., certify that: </FONT></P>
<P align="left">
<FONT size=2 face="serif">1.</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;I have reviewed this report on Form N-Q of BlackRock Income Trust, Inc.; </FONT></P>
<P align="left">
<FONT size=2 face="serif">2.</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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 face="serif">3.</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Based on my knowledge, the schedules of investments included in this report, fairly present in all material respects the investments of the
registrant as of the end of the fiscal quarter for which the report is filed; </FONT></P>
<P align="left">
<FONT size=2 face="serif">4.</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: </FONT></P>

<div style="margin-left:23pt">
<FONT size=2 face="serif">a)</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">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 face="serif">b)</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our
supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; </FONT></P>
<P align="left">
<FONT size=2 face="serif">c)</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">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 face="serif">d)</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s
most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and </FONT></P></div>
<P align="left">
<FONT size=2 face="serif">5.</FONT><FONT size=2 face="sans-serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT><FONT size=2 face="serif">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">
<div style="margin-left:23pt"><FONT size=2 face="serif">a)</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">all significant deficiencies and material weaknesses in the design or operation of internal control 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 face="serif">b)</FONT><FONT size=2 face="sans-serif"> </FONT><FONT size=2 face="serif">any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant&#146;s internal control
over financial reporting. </FONT></P></div>
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<FONT size=2 face="serif">Date: September 20, 2007</FONT></P>
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    <td width="23%"><div style="border-bottom:1px solid #000000"><font size=2 face="serif">/s/
          Donald C. Burke</font></div></td>
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<div><FONT size=2 face="serif"> Donald C. Burke, </FONT><BR>
<FONT size=2 face="serif">Treasurer (principal financial officer) of</FONT><BR>
<FONT size=2 face="serif">BlackRock Income Trust, Inc. </FONT></div>

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