<SEC-DOCUMENT>0001171200-12-000098.txt : 20120126
<SEC-HEADER>0001171200-12-000098.hdr.sgml : 20120126
<ACCEPTANCE-DATETIME>20120126131350
ACCESSION NUMBER:		0001171200-12-000098
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20111130
FILED AS OF DATE:		20120126
DATE AS OF CHANGE:		20120126
EFFECTIVENESS DATE:		20120126

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:		12546961

	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>i00026_bkt-nq.htm
<TEXT>
<html>
    <head>
        <title></title>
    </head>

    <body style="FONT-FAMILY: 'Times New Roman'" bgcolor="#ffffff">
        <p style="TEXT-ALIGN: center; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt"><font size="2">UNITED STATES</font></p>

        <p style="TEXT-ALIGN: center; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt"><font size="2">SECURITIES AND EXCHANGE COMMISSION </font></p>

        <p style="TEXT-ALIGN: center; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt"><font size="2">Washington, D.C. 20549</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt">&nbsp;</p>

        <p style="TEXT-ALIGN: center; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt"><b><font size="2">FORM N-Q</font></b></p>

        <p style="TEXT-ALIGN: center; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt">&nbsp;</p>

        <p style="TEXT-ALIGN: center; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt"><b><font size="2">QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY</font></b></p>

        <p style="TEXT-ALIGN: center; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt">&nbsp;</p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt"><font size="2">Investment Company Act file number 811-05542 </font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; TEXT-INDENT: -0.5in; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0.5in">&nbsp;</p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; TEXT-INDENT: -0.5in; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0.5in"><font size="2">Name of Fund: BlackRock Income Trust, Inc. (BKT)</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; TEXT-INDENT: -0.5in; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0.5in">&nbsp;</p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; TEXT-INDENT: -0.5in; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0.5in"><font size="2">Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; TEXT-INDENT: -0.5in; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0.5in">&nbsp;</p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; TEXT-INDENT: -0.5in; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0.5in"><font size="2">Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Income Trust, Inc., 55 East 52<sup>nd</sup> Street, New York, NY 10055</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; TEXT-INDENT: -0.5in; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0.5in">&nbsp;</p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; TEXT-INDENT: -0.5in; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0.5in"><font size="2">Registrant&rsquo;s telephone number, including area code: (800) 882-0052, Option 4</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; TEXT-INDENT: -0.5in; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0.5in">&nbsp;</p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; TEXT-INDENT: -0.5in; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0.5in"><font size="2">Date of fiscal year end: 08/31/2012</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; TEXT-INDENT: -0.5in; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0.5in">&nbsp;</p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; TEXT-INDENT: -0.5in; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0.5in"><font size="2">Date of reporting period: 11/30/2011</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; TEXT-INDENT: -0.5in; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0.5in">&nbsp;</p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt"><font size="2">Item 1 &ndash; Schedule of Investments</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0.58in">&nbsp;</p>
        <hr align="center" size="4" width="100%" noshade>

        <p style="PAGE-BREAK-BEFORE: always" align="left"></p>
        <PAGE>
<!-- insert -->

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="50%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=4>Schedule of Investments</FONT> <FONT SIZE=2>November 30, 2011 (Unaudited)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE="2"><B>BlackRock
Income Trust, Inc. (BKT)</B> </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE="1"><B>(Percentages
shown are based on Net Assets)</B> </FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="67%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>Asset-Backed Securities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Par <BR>
(000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Asset-Backed
Securities &#151; 1.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR >
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>First Franklin Mortgage Loan<BR>
Asset-Backed Certificates,<BR>
Series 2005-FF2, Class M2,<BR>
0.70%, 3/25/35 (a) </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,890</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,042,906</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR >
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Freddie Mac Mortgage-Backed<BR>
Securities, Series T-11, Class A9,<BR>
2.56%, 1/25/28 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,237</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,107,415</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR >
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Securitized Asset-Backed<BR>
Receivables LLC Trust,<BR>
Series 2005-OP2, Class M1,<BR>
0.69%, 10/25/35 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,078,957</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Small Business Administration<BR>
Participation Certificates, Class 1:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT; '><FONT SIZE=2>Series
1996-20E, 7.60%,<BR>
5/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>136</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>147,434</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT; '><FONT SIZE=2>Series
1996-20G, 7.70%,<BR>
7/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>204</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>220,668</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT; '><FONT SIZE=2>Series
1996-20H, 7.25%,<BR>
8/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>262</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>282,752</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT; '><FONT SIZE=2>Series
1996-20K, 6.95%,<BR>
11/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>421</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>458,110</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="PADDING-BOTTOM:1PX">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT; '><FONT SIZE=2>Series
1997-20C, 7.15%,<BR>
3/01/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>161</FONT></P></TD>
<TD VALIGN=BOTTOM STYLE="PADDING-BOTTOM:1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>176,005</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>9,514,247</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2><B>Interest Only Asset-Backed Securities &#151; 0.2%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Small Business Administration,<BR>
Series 1, 2.00%, 4/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,767</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>15,460</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Sterling Bank Trust, Series 2004-2,<BR>
Class Note, 2.08%, 3/30/30 (b)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,664</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>362,941</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="PADDING-BOTTOM:1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Sterling Coofs Trust, Series 1,<BR>
2.36%, 4/15/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8,101</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="PADDING-BOTTOM:1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>635,426</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>1,013,827</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2><B>Total Asset-Backed Securities &#150; 2.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>10,528,074</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="67%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR >
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B><BR>Non-Agency Mortgage-Backed<BR>
Securities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2><B>Collateralized Mortgage Obligations &#151; 2.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Collateralized Mortgage Obligation<BR>
Trust, Series 40, Class R, 0.58%,<BR>
4/01/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>116</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>116</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Countrywide Alternative Loan<BR>
Trust, Series 2005-28CB, Class<BR>
1A5, 5.50%, 8/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>627</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>614,898</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="67%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>Non-Agency Mortgage-Backed <BR>
Securities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Par <BR>
(000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Collateralized
Mortgage<BR>
Obligations (concluded)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR >
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Deutsche ALT-A Securities, Inc.<BR>
Alternate Loan Trust, Series<BR>
2006-AR5, Class 22A, 5.50%,<BR>
10/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>978</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>936,797</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR >
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Homebanc Mortgage Trust,<BR>
Series 2005-4, Class A1, 0.53%,<BR>
10/25/35 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,088</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,942,563</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>JPMorgan Mortgage Trust,<BR>
Series 2006-A7, Class 2A2,<BR>
3.02%, 1/25/37 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>398</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>260,340</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Kidder Peabody Acceptance Corp.,<BR>
Series 1993-1, Class A6,<BR>
16.17%, 8/25/23 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>52</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>59,144</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Residential Funding Securities<BR>
LLC, Series 2003-RM2, Class<BR>
AI5, 8.50%, 5/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,013</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,237,708</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Structured Adjustable Rate<BR>
Mortgage Loan Trust,<BR>
Series 2004-11, Class A, 2.61%,<BR>
8/25/34 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,398</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,200,570</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="PADDING-BOTTOM:1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>WaMu Mortgage Pass-Through<BR>
Certificates, Series 2006-AR1,<BR>
Class 2A1C, 1.29%, 1/25/46 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,890</FONT></P>

</TD>
<TD VALIGN=BOTTOM STYLE="PADDING-BOTTOM:1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>1,997,596</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>10,249,732</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2><B>Commercial Mortgage-Backed Securities &#151; 0.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Credit Suisse Mortgage Capital<BR>
Certificates, Series 2007-C2,<BR>
Class A3, 5.54%, 1/15/49 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,420</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,473,954</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="PADDING-BOTTOM:1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>First Union-Lehman Brothers<BR>
Commercial Mortgage, Series<BR>
1997-C2, Class D, 7.12%,<BR>
11/18/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,295</FONT></P>

</TD>
<TD VALIGN=BOTTOM STYLE="PADDING-BOTTOM:1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>1,309,456</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>3,783,410</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2><B>Interest Only Collateralized Mortgage Obligations &#151;
1.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR >
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Bank of America Mortgage<BR>
Securities Inc., Series 2003-3,<BR>
Class 1AIO, 0.28%, 5/25/33 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>78,445</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>501,972</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR >
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>CitiMortgage Alternative Loan<BR>
Trust, Series 2007-A5, Class<BR>
1A7, 6.00%, 5/25/37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>971</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>177,602</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Collateralized Mortgage Obligation<BR>
Trust, Series 42, Class R,<BR>
6,000.00%, 10/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>131</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="10%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="90%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN=2 VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE="2"><B>Portfolio Abbreviations</B> </FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN=2 VALIGN=TOP>
<P><FONT SIZE=2><BR>To simplify the listings of
portfolio holdings in the Schedule of Investments, the names and descriptions
of many of the securities have been abbreviated according to the following
list:</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><BR>LIBOR</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><BR>London Interbank Offered
Rate</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>REMIC</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Real Estate Mortgage
Investment Conduit</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>TBA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>To Be Announced</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="55%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>BLACKROCK INCOME TRUST, INC.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>NOVEMBER 30, 2011</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=1>1</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="50%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=4>Schedule of Investments</FONT> <FONT SIZE=2>(continued)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE="2"><B>BlackRock
Income Trust, Inc. (BKT)</B> </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE="1"><B>(Percentages
shown are based on Net Assets)</B> </FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="67%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>Non-Agency Mortgage-Backed<BR>
Securities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Par <BR>
(000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Interest
Only Collateralized <BR>
Mortgage Obligations (concluded)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>First Boston Mortgage Securities<BR>
Corp., Series C, Class I-O,<BR>
10.97%, 4/25/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,335</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>GSMPS Mortgage Loan Trust,<BR>
Series 1998-5, Class IO, 0.29%,<BR>
6/19/27 (a)(b)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,596</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>104,089</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR >
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>IndyMac INDX Mortgage Loan<BR>
Trust, Series 2006-AR33,<BR>
Class 4AX, 0.17%, 1/25/37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>100,414</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>496,045</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>MASTR Adjustable Rate Mortgages<BR>
Trust, Series 2004-3, Class 3AX,<BR>
0.98%, 4/25/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>11,848</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>131,153</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>MASTR Alternative Loans Trust,<BR>
Series 2003-9, Class 15X2,<BR>
6.00%, 1/25/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>570</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>85,458</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Morgan Stanley Mortgage Loan<BR>
Trust, Series 2004-3, Class 1AX,<BR>
5.00%, 5/25/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>613</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>64,719</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR >
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Sequoia Mortgage Trust, Series<BR>
2005-2, Class XA, 1.00%,<BR>
3/20/35 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>38,328</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>622,830</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Structured Adjustable Rate Mortgage<BR>
Loan Trust:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR >
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;'><FONT SIZE=2>Series 2005-20, Class 3AX,<BR>
5.50%, 10/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>171</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>18,426</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR >
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;'><FONT SIZE=2>Series 2006-7, Class 3AS,<BR>
5.32%, 8/25/36 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>26,932</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,689,698</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="PADDING-BOTTOM:1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Vendee Mortgage Trust,<BR>
Series 1999-2, Class 1IO,<BR>
0.04%, 5/15/29 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>55,336</FONT></P></TD>
<TD VALIGN=BOTTOM STYLE="PADDING-BOTTOM:1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>96,440</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>4,991,898</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Interest
Only Commercial Mortgage-Backed<BR>
Securities &#151; 0.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR >
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>CS First Boston Mortgage Securities<BR>
Corp., Series 1997-C1, Class AX,<BR>
1.36%, 6/20/29 (a)(b)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,770</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>73,969</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="PADDING-BOTTOM:1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Morgan Stanley Capital I, Series<BR>
1997-HF1, Class X, 2.19%,<BR>
7/15/29 (a)(b)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8</FONT></P></TD>
<TD VALIGN=BOTTOM STYLE="PADDING-BOTTOM:1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>73,970</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>


</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2><B>Principal Only Collateralized Mortgage Obligations &#151;
0.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Countrywide Home Loan Mortgage<BR>
Pass-Through Trust, Class PO:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Series 2003-26, 8/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,719</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,421,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Series 2003-J4, 6/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>308</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>247,492</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Series 2003-J5, 7/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>479</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>384,573</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Series 2003-J8, 9/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>372</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>318,616</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR >
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Drexel Burnham Lambert CMO Trust,<BR>
Class 1:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Series K, 9/23/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8,676</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Series V, 9/01/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>32,419</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="67%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>Non-Agency Mortgage-Backed <BR>
Securities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Par<BR>
(000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Principal
Only Collateralized<BR>
Mortgage Obligations (concluded)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR >
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>MASTR Asset Securitization Trust,<BR>
Series 2004-3, Class 4A15,<BR>
3/25/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>74</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>66,703</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Residential Asset Securitization<BR>
Trust, Series 2005-A15, Class<BR>
1A8, 2/25/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>847</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>734,528</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Structured Mortgage Asset<BR>
Residential Trust, Series<BR>
1993-3C, Class CX, 4/25/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,123</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="PADDING-BOTTOM:1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Washington Mutual Alternative<BR>
Mortgage Pass-Through<BR>
Certificates, Series 2005-9,<BR>
Class CP, 11/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>564</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="PADDING-BOTTOM:1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>385,659</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>3,606,089</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2><B>Total
Non-Agency Mortgage-Backed<BR>
Securities &#150; 4.4%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>22,705,099</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="67%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR >
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B><BR>US Government Sponsored<BR>
Agency Securities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2><B>Agency Obligations &#151; 2.4%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Federal Housing Administration,<BR>
General Motors Acceptance Corp.<BR>
Projects, Series 56, Series 56, 7.43%,<BR>
11/01/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>213</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>213,233</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Federal Housing Administration,<BR>
Merrill Projects, Series 54,<BR>
7.43%, 5/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,957</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Federal Housing Administration,<BR>
Reilly Projects, Series 41,<BR>
Series 41, 8.28%, 3/01/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>228</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>227,847</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Federal Housing Administration, USGI Projects:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Series 87, 7.43%, 12/01/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>65</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>65,289</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Series 99, 7.43%, 6/01/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,363</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,362,620</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Series 99, 7.43%, 10/01/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>41</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>40,589</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Series 99, 7.43%, 10/01/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>120</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>119,921</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR >
<TD VALIGN=BOTTOM STYLE="PADDING-BOTTOM:1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Resolution Funding Corp., 9.89%,<BR>
4/15/30 (c)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>13,000</FONT></P>

</TD>
<TD VALIGN=BOTTOM STYLE="PADDING-BOTTOM:1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>


</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>7,073,898</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>12,105,354</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2><B>Collateralized Mortgage Obligations &#151; 11.8%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Fannie Mae Mortgage-Backed<BR>
Securities:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT; '><FONT SIZE=2>Series
1991-46, Class S,<BR>
2.45%, 5/25/21 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>93</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,680</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT; '><FONT SIZE=2>Series
1991-87, Class S,<BR>
25.94%, 8/25/21 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>47</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>70,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT; '><FONT SIZE=2>Series
1993-247, Class SN,<BR>
10.00%, 12/25/23 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>398</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>431,919</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT; '><FONT SIZE=2>Series
2003-32, Class VT,<BR>
6.00%, 9/25/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,852</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,880,347</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT; '><FONT SIZE=2>Series
2003-135, Class PB,<BR>
6.00%, 1/25/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12,264</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>14,225,209</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="55%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>BLACKROCK INCOME TRUST,
INC.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>NOVEMBER 30, 2011</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=1>2</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="50%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD ROWSPAN=2 VALIGN=TOP>
<P><FONT SIZE=4>Schedule of Investments</font> <FONT SIZE=2>(continued)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2><B>BlackRock Income Trust, Inc. (BKT) </B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1><B> (Percentages shown are based on Net Assets) </B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="67%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>US
Government Sponsored<BR>
Agency Securities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Par<BR>
(000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P><FONT SIZE=2><B>Collateralized Mortgage<BR>Obligations (continued)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Fannie Mae Mortgage-Backed<BR>
Securities (concluded):</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT; '><FONT SIZE=2>Series 2004-29, Class HC,<BR>
7.50%, 7/25/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>351</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>357,718</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT; '><FONT SIZE=2>Series 2004-31, Class ZG,<BR>
7.50%, 5/25/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>3,231</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>4,157,879</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT; '><FONT SIZE=2>Series 2005-73, Class DS,<BR>
16.88%, 8/25/35 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,956</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,583,915</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT; '><FONT SIZE=2>Series 2006-2, Class KP,<BR>
0.00%, 2/25/35 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>49</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>48,790</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT; '><FONT SIZE=2>Series G-7, Class S, 16.87%,<BR>
3/25/21 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151; </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>(d)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT; '><FONT SIZE=2>Series G-17, Class S, 0.58%,<BR>
6/25/21 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>247</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>5,576</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT; '><FONT SIZE=2>Series G-33, Class PV, 1.08%,<BR>
10/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>284</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,627</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT; '><FONT SIZE=2>Series G-49, Class S, 5.55%,<BR>
12/25/21 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=2>(d)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>1,946</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Freddie Mac Mortgage-Backed<BR>
Securities:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 19, Class F, 8.50%,<BR>
3/15/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>77</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>84,245</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 19, Class R, 9.76%,<BR>
3/15/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,129</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 40, Class K, 6.50%,<BR>
8/17/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>344</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>405,285</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 75, Class R, 9.50%,<BR>
1/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151; </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>(d)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 75, Class RS, 26.53%,<BR>
1/15/21 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>&#151; </FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=2>(d)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 173, Class R, 9.00%,<BR>
11/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 173, Class RS, 9.25%,<BR>
11/15/21 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>&#151; </FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=2>(d)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 192, Class U, 1.01%,<BR>
2/15/22 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>49</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1057, Class J, 1.01%,<BR>
3/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>94</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>1,930</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1160, Class F, 39.10%,<BR>
10/15/21 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>34,045</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1961, Class H, 6.50%,<BR>
5/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=2>(d)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>38</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 2218, Class Z, 8.50%,<BR>
3/15/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,240</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,066,714</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 2542, Class UC, 6.00%,<BR>
12/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>7,702</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>8,438,548</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 2758, Class KV, 5.50%,<BR>
5/15/23 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9,318</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10,678,455</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 2861, Class AX,<BR>
10.43%, 9/15/34 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>208</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>223,574</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 2927, Class BZ, 5.50%,<BR>
2/15/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,005</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,666,401</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Ginnie Mae Mortgage-Backed<BR>
Securities:</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1996-5, Class Z,<BR>
7.00%, 5/16/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>535</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>576,546</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="67%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<tr>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>US
Government Sponsored<BR>
Agency Securities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>

</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Par<BR>
(000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P><FONT SIZE=2><B>Collateralized Mortgage<BR>Obligations (concluded)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Ginnie Mae Mortgage-Backed Securities<BR>
(concluded):</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 2001-33, Class PB,<BR>
6.50%, 7/20/31</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>881</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>910,546</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 2004-89, Class PE,<BR>
6.00%, 10/20/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>3,392</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>3,706,025</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>60,572,614</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=2><B>Federal Deposit Insurance Corporation Guaranteed &#151; 0.8%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Citigroup Funding, Inc., 1.88%,<BR>
10/22/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>3,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>3,859,987</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=2><B>Interest Only Collateralized Mortgage Obligations &#151; 4.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Fannie Mae Mortgage-Backed<BR>
Securities:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 7, Class 2, 8.50%,<BR>
4/01/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>592</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 89, Class 2, 8.00%,<BR>
10/01/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>908</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 94, Class 2, 9.50%,<BR>
8/01/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>556</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1990-123, Class M,<BR>
1.01%, 10/25/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>446</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1990-136, Class S,<BR>
0.02%, 11/25/20 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>11,396</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>15,490</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1991-99, Class L,<BR>
0.93%, 8/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>109</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,017</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1991-139, Class PT,<BR>
0.65%, 10/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>228</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>3,206</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1993-199, Class SB,<BR>
7.22%, 10/25/23 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>717</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>87,931</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1996-68, Class SC,<BR>
7.82%, 1/25/24 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>371</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>17,642</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1997-50, Class SI,<BR>
1.20%, 4/25/23 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>337</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>11,265</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1997-90, Class M,<BR>
6.00%, 1/25/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>5,658</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>934,436</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1999-W4, Class IO,<BR>
6.50%, 12/25/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>335</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>59,011</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 2005-43, Class IC,<BR>
6.00%, 3/25/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>11</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>805</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 2010-74, Class DI, IO,<BR>
REMIC, 5.00%, 12/25/39</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>60,710</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,747,518</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 2010-75, Class PI,<BR>
4.50%, 12/25/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>22,878</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>1,759,717</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 2010-126, Class UI,<BR>
5.50%, 10/25/40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>21,101</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,704,206</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series G-10, Class S, 1.08%,<BR>
5/25/21 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>516</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>10,195</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series G-12, Class S, 1.14%,<BR>
5/25/21 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>376</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9,064</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series G-50, Class G, 1.16%,<BR>
12/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>38</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>115</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series G92-5, Class H, 9.00%,<BR>
1/25/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>79</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>13,509</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series G92-12, Class C,<BR>
1.02%, 2/25/22 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>236</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>4,201</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="55%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>BLACKROCK INCOME TRUST, INC.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>NOVEMBER 30, 2011</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=1>3</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="50%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD ROWSPAN=2 VALIGN=TOP>
<P><FONT SIZE=3>Schedule of Investments</font> <FONT SIZE=2>(continued)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2><B>BlackRock Income Trust, Inc. (BKT) </B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1><B> (Percentages shown are based on Net Assets) </B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="67%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>US
Government Sponsored<BR>
Agency Securities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Par<BR>
(000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P><FONT SIZE=2><B>Interest Only Collateralized<BR>Mortgage Obligations (concluded)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Freddie Mac Mortgage-Backed<BR>
Securities:</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series G92-60, Class SB,<BR>
1.60%, 10/25/22 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>238</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9,270</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 176, Class M, 1.01%,<BR>
7/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>29</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>607</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 200, Class R, 95.96%,<BR>
12/15/22 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1043, Class H, 0.04%,<BR>
2/15/21 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>8,294</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>17,682</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1054, Class I, 0.86%,<BR>
3/15/21 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>68</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,328</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1056, Class KD, 1.08%,<BR>
3/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>58</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>1,383</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1148, Class E, 1.17%,<BR>
10/15/21 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>166</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,256</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1914, Class PC, 0.75%,<BR>
12/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 2545, Class NI, 5.50%,<BR>
3/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>89</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>805</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 2559, Class IO, 0.50%,<BR>
8/15/30 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>193</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>2,548</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 2611, Class QI, 5.50%,<BR>
9/15/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,534</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>463,136</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 2949, Class IO, 5.50%,<BR>
3/15/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>614</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>41,464</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 3744, Class PI, 4.00%,<BR>
6/15/39</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>20,958</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,349,169</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 3745, Class IN, 4.00%,<BR>
1/15/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>47,101</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>5,393,721</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Ginnie Mae Mortgage-Backed<BR>
Securities, Series 2010-101,<BR>
Class YT, 2.00%, 8/16/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>58,575</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>1,435,111</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>25,102,323</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Mortgage-Backed Securities &#151; 118.4%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Fannie Mae Mortgage-Backed<BR>
Securities:</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>3.50%, 12/15/41 (e)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,138,907</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>4.00%, 1/01/41 &#150; 12/15/41 (e)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>30,191</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>31,489,302</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>4.50%, 9/01/25 &#150; 12/15/41 (e)(f)(g)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>198,217</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>211,423,717</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>5.00%, 1/01/23 - 12/15/41 (e)(g)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>118,038</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>127,418,289</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>5.50%, 12/15/26 - 12/15/41 (e)(f)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>130,159</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>141,985,347</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>5.97%, 8/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>3,045</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>3,481,017</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>6.00%, 12/15/41 (e)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>21,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>23,894,845</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>6.50%, 12/01/37 - 10/01/39 (g)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>45,242</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>50,340,874</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>7.50%, 2/01/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151; </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>(d)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>118</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>9.50%, 1/01/19 - 9/01/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>2,820</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Freddie Mac Mortgage-Backed<BR>
Securities:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>2.55%, 10/01/34 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>304</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>316,723</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>2.61%, 1/01/35 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>201</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>202,240</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>4.51%, 11/01/17 (a)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>15</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>15,174</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>5.00%, 4/01/22 &#150; 12/15/26 (f)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,044</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,121,622</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>5.50%, 12/15/26 (e)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>7,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>7,560,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>9.00%, 9/01/20 (f)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>51</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>57,480</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="67%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>US
Government Sponsored<BR>
Agency Securities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Par<BR>
(000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN="CENTER"><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Mortgage-Backed Securities<BR>
(concluded)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Ginnie Mae Mortgage-Backed<BR>
Securities:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>7.50%, 12/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>218</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>251,151</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>8.00%, 10/15/22 - 2/15/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>93,537</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>9.00%, 1/15/23 &#150; 12/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>9,323</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>606,802,486</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Principal Only Collateralized Mortgage Obligations &#151; 0.4%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Fannie Mae Mortgage-Backed<BR>
Securities:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Series 203, Class 1, 2/01/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>18,149</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Series 228, Class 1, 6/01/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12,186</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1991-7, Class J,<BR>
2/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>16,910</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1993-51, Class E,<BR>
2/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>64</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>59,871</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1993-70, Class A,<BR>
5/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9,321</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1999-W4, Class PO,<BR>
2/25/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>179</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>158,330</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 2002-13, Class PR,<BR>
3/25/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>373</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>328,825</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series G93-2, Class KB,<BR>
1/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>158</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>141,808</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Freddie Mac Mortgage-Backed<BR>
Securities:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1418, Class M,<BR>
11/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>69</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>63,340</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1571, Class G,<BR>
8/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>409</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>359,586</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1691, Class B,<BR>
3/15/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>924</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>855,052</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series 1739, Class B,<BR>
2/15/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>31</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>30,434</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Series T-8, Class A10,<BR>
11/15/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>138</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>123,752</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>2,177,564</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2><B>Total US Government Sponsored Agency<BR>
Securities &#150; 138.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>710,620,328</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B><BR>US Treasury Obligations</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>US Treasury
Bonds:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>6.25%, 8/15/23 (g)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>3,320</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>4,677,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>4.38%, 5/15/40 (g)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>36,985</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>46,566,408</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>4.38%, 5/15/41</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>1,220</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>1,539,487</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>3.13%, 11/15/41</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,920</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,955,130</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=2>US Treasury
Notes:</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>2.13%, 2/29/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,540</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,688,232</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>1.50%, 6/30/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>1,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>1,081,172</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>1.00%, 8/31/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,865</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,890,843</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>1.00%, 10/31/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>295</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>296,014</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>0.88%, 11/30/16 (g)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,735,645</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="55%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>BLACKROCK INCOME TRUST,
INC.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>NOVEMBER 30, 2011</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=1>4</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="50%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD ROWSPAN=2 VALIGN=TOP>
<P><FONT SIZE=4>Schedule of Investments</FONT><FONT SIZE=2> (continued)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2><B>BlackRock Income Trust, Inc. (BKT)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="67%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>US Treasury Obligations</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Par<BR>
(000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE="2">US
Treasury Notes (concluded): </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>2.25%, 7/31/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,549,022</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>2.63%, 8/15/20 (f)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,455</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,543,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>2.13%, 8/15/21 (g)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>19,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>19,833,901</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>2.00%, 11/15/21 (g)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,962,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>4.50%, 8/15/39</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>330</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>423,019</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>3.75%, 8/15/41 (g)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>19,140</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>21,777,722</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2><B>Total US
Treasury Obligations &#150; 23.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>121,519,695</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2><B>Total
Long-Term Investments<BR>
(Cost &#150; $843,725,371) &#150; 168.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>865,373,196</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN=8 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>Short-Term Securities<BR><BR></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Borrowed
Bond Agreements - 2.3%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>BNP Paribas SA:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>0.10%, Open <SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>943</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>943,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>0.08%, Open <SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,059</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,058,906</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="PADDING-BOTTOM:1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Credit Suisse Securities (USA) LLC,<BR>
0.04%, Open <SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,774</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>3,774,413</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>11,776,319</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Shares<BR><BR></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Money
Market Fund &#150; 0.4%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>BlackRock Liquidity Funds,<BR>
TempFund, Institutional Class,<BR>
0.13% (h)(i)</FONT></P>

</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>1,849,713</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>1,849,713</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2><B>Total
Short-Term Securities<BR>
(Cost &#150; $13,626,032) &#150; 2.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>13,626,032</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN=8 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>Options Purchased</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Contracts</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Exchange-Traded
Put Options &#151; 0.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Eurodollar 1-year Mid-Curve
Options:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Strike
Price $99, Expires<BR>
1/13/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>137</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9,419</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="PADDING-BOTTOM:1PX">
<P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=2>Strike
Price $99, Expires<BR>
3/16/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>41,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>50,669</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>Options Purchased</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN="CENTER"><FONT SIZE=1><B>Notional<BR>
Amount<BR>
(000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Over-the-Counter
Call Swaptions &#151; 0.3%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Receive a fixed rate of 5.47% and<BR>
pay a floating rate based on<BR>
3-month LIBOR, Expires 5/19/12,<BR>
Broker Bank of America NA</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>6,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>1,762,924</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Over-the-Counter
Put Swaptions &#151; 0.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Pay a fixed rate of 5.47% and<BR>
receive a floating rate based on<BR>
3-month LIBOR, Expires 5/19/12,<BR>
Broker Bank of America NA</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>6,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>160</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2><B>Total Options Purchased<BR>
(Cost &#150; $614,487) &#150; 0.3%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>1,813,753</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2><B>Total
Investments Before Borrowed Bonds, TBA<BR>
Sale Commitments and Options Written<BR>
(Cost &#150; $857,965,890*) &#150; 171.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>880,812,981</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN=8 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>Borrowed Bonds</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Par<BR>
(000</B><FONT SIZE=1><B>)</B></FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>US Treasury Notes:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>1.25%, 2/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>920</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(939,263</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>2.13%, 2/29/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9,385</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(9,932,699</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>1.50%, 6/30/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1,081,173</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>1.00%, 8/31/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,865</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(4,890,843</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>1.00%, 10/31/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>4,060</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>(4,073,958</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2><B>Total
Borrowed Bonds<BR>
(Proceeds &#150; $20,243,095) &#150; (4.1)%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>(20,917,936</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN=8 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>TBA Sale Commitments (e)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Fannie Mae Mortgage-Backed<BR>
Securities:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>4.50%, 12/15/41</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>15,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(16,055,546</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>5.00%, 12/15/41</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(1,179,922</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Freddie Mac Mortgage-Backed<BR>
Securities, 5.00%, 12/15/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>1,000</FONT></P>


</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>(1,068,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2><B>Total TBA
Sale Commitments<BR>
(Proceeds &#150; $18,279,781) &#150; (3.6)%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>

</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>(18,303,593</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN=8 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="55%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>BLACKROCK INCOME TRUST, INC.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>NOVEMBER 30, 2011</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=1>5</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="50%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD ROWSPAN=2 VALIGN=TOP>
<P><FONT SIZE=4>Schedule of Investments</FONT><FONT SIZE=2> (continued)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2><B>BlackRock Income Trust, Inc. (BKT)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="67%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>Options Written</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Notional<BR>
Amount<BR>
(000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Over-the-Counter
Call Swaptions &#151; (0.3)%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Pay a fixed rate of 5.33% and<BR>
receive a floating rate based on<BR>
3-month LIBOR, Expires 7/17/13,<BR>
Broker JPMorgan Chase Bank NA</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>11,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>(1,725,468</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Over-the-Counter
Put Swaptions &#151; 0.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Receive a fixed rate of 5.33% and<BR>
pay a floating rate based on<BR>
3-month LIBOR, Expires 7/17/13,<BR>
Broker JPMorgan Chase Bank NA</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>11,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>(17,270</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2><B>Total
Options Written<BR>
(Premiums Received &#150; $706,515) &#150; (0.3)%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>(1,742,738</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=2><B>Total
Investments, Net of TBA Sale Commitments,<BR>Options
Written and Borrowed Bonds - 163.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>839,848,714</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM STYLE="PADDING-BOTTOM:1PX">
<P><FONT SIZE=2><B>Liabilities
in Excess of Other Assets &#150; (63.9)%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>(327,517,549</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM  STYLE="PADDING-BOTTOM:3PX">
<P><FONT SIZE=2><B>Net Assets
&#150; 100.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>512,331,165</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="5%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><BR>*</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><BR>The cost and unrealized
appreciation (depreciation) of investments as of November 30, 2011, as
computed for federal income tax purposes, were as follows: </FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="95%" STYLE=MARGIN-LEFT:5%>
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="82%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="PADDING-BOTTOM:3PX">
<P><FONT SIZE=2>Aggregate cost</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>857,952,939</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Gross unrealized appreciation</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>42,884,983</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="PADDING-BOTTOM:1PX">
<P><FONT SIZE=2>Gross unrealized
depreciation</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>(20,024,941</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="PADDING-BOTTOM:3PX">
<P><FONT SIZE=2>Net unrealized appreciation</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>22,860,042</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(a)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Variable rate security.
Rate shown is as of report date. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(b)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Security exempt from
registration pursuant to Rule 144A under the Securities Act of 1933. These
securities may be resold in transactions exempt from registration to
qualified institutional investors. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(c)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Represents a zero-coupon
bond. Rate shown reflects the current yield as of report date.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(d)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Amount is less than $500. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(e)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Represents or includes a
TBA transaction. Unsettled TBA transactions as of November 30, 2011 were as
follows: </FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="5%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="62%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>Counterparty</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Unrealized<BR>
Appreciation<BR>
(Depreciation)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Citigroup Global Markets,
Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,875,406</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,969</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Credit Suisse International</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>136,053,941</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>182,707</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Goldman Sachs &amp; Co.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,560,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,281</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Greenwich Financial
Services</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,760,937</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(688</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>JPMorgan Chase Securities,
Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>22,510,642</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>41,548</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>UBS AG</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>(17,235,468</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>(19,437</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(f)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>All or a portion of
security has been pledged as collateral in connection with swaps. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(g)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>All or a portion of
security has been pledged as collateral in connection with open reverse
repurchase agreements.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(h)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Investments in companies
considered to be an affiliate of the Trust during the period, for purposes of
Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as
follows: </FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="95%" STYLE=MARGIN-LEFT:5%>
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="46%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>Affiliate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Shares<BR>
Held at<BR>
August 31,<BR>
2011</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Net<BR>
Activity</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Shares<BR>
Held at<BR>
November 30,<BR>
2011</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Income</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>BlackRock<BR>
Liquidity<BR>
Funds,<BR>
TempFund,<BR>
Institutional<BR>
Class</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>3,958,025</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>(2,108,312</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>1,849,713</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>1,853</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(i)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Represents the current
yield as of report date. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&#149;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>For Trust compliance
purposes, the Trust&#146;s industry classifications refer to any one or more of
the industry sub-classifications used by one or more widely recognized market
indexes or rating group indexes, and/or as defined by Trust management. These
definitions may not apply for purposes of this report, which may combine such
industry sub-classifications for reporting ease. </FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="55%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>BLACKROCK INCOME TRUST, INC.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>NOVEMBER 30, 2011</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=1>6</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="50%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD ROWSPAN=2 VALIGN=TOP>
<P><FONT SIZE=4>Schedule of Investments</FONT><FONT SIZE=2> (continued)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE="2"><B>BlackRock
Income Trust, Inc. (BKT)</B> </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1><B> (Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="34%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&#149;<BR><BR></FONT></P>
</TD>
<TD COLSPAN=13 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>Reverse repurchase
agreements outstanding as of November 30, 2011 were as follows:<BR><BR></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>Counterparty</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Interest<BR>
Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Trade<BR>
Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Maturity<BR>
Date<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Net
Closing<BR>
Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Face<BR>
Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Barclays Capital, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN="RIGHT"><FONT SIZE=2>0.08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>10/25/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Open</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,669,134</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,668,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Deutsche Bank Securities,<BR>
Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN="RIGHT"><FONT SIZE=2>0.24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>11/14/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>12/12/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>68,312,107</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>68,304,365</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Deutsche Bank Securities,<BR>
Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN="RIGHT"><FONT SIZE=2>0.24</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>11/16/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>12/12/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>31,190,119</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>31,187,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Merrill Lynch &amp; Co., Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN="RIGHT"><FONT SIZE=2>0.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>11/16/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Open</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>36,486,845</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>36,484,869</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Credit Suisse Securities <BR>
(USA) LLC</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN="RIGHT"><FONT SIZE=2>0.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>11/29/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Open</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10,310,074</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10,310,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>BNP Paribas</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN="RIGHT"><FONT SIZE=2>0.10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>11/30/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>12/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>22,369,937</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>22,369,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>BNP Paribas</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN="RIGHT"><FONT SIZE=2>0.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>11/30/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>12/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10,124,662</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10,124,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Credit Suisse Securities <BR>
(USA) LLC</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN="RIGHT"><FONT SIZE=2>0.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>11/30/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>12/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,505,626</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,505,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Credit Suisse Securities <BR>
(USA) LLC</FONT></P>


</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN="RIGHT"><FONT SIZE=2>0.12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>11/30/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>12/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>

</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>4,080,014</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>4,080,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2><B>Total</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>192,048,518</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>192,035,109</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=10 VALIGN=BOTTOM >
<P><FONT SIZE=2><SUP>1</SUP>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Certain agreements have no
stated maturity and can be terminated by either party at any time.</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="5%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="23%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="19%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="13%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&#149;<BR><BR></FONT></P>
</TD>
<TD COLSPAN=10 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>Financial futures contracts
purchased as of November 30, 2011 were as follows:<BR><BR></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>

</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Contracts</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Issue</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Exchange</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Expiration</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Notional<BR>
Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Unrealized<BR>
Appreciation<BR>
(Depreciation)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>82</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>5-Year
US Treasury Note</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Chicago
Board of Trade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>March
2012</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10,056,531</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(3,524</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>143</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>90-Day
Euro Dollar</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Chicago
Mercantile</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>March
2012</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>35,535,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>143,394</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>44</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Ultra
Long US Treasury Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Chicago
Board of Trade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>March
2012</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,839,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(25,177</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>155</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>90-Day
Euro Dollar</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Chicago
Mercantile</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>June
2012</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>38,502,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>129,123</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>169</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>90-Day
Euro Dollar</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Chicago
Mercantile</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>September
2012</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>41,973,263</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>318,948</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>98</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>90-Day
Euro Dollar</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Chicago
Mercantile</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>December
2012</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>24,337,075</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>106,929</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>90-Day
Euro Dollar</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Chicago
Mercantile</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>March
2013</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>17,381,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>265,045</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>96</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>90-Day
Euro Dollar</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Chicago
Mercantile</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>June
2013</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>23,827,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>219,045</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>90</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>90-Day
Euro Dollar</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Chicago
Mercantile</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>September
2013</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>22,324,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>381,165</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>57</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>90-Day
Euro Dollar</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Chicago
Mercantile</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>December
2013</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>14,124,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>301,506</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>26</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>90-Day
Euro Dollar</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>Chicago
Mercantile</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>March
2014</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>6,434,350</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>144,828</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Total</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>1,981,282</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="5%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&#149;<BR><BR></FONT></P>
</TD>
<TD COLSPAN=11 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>Financial futures contracts
sold as of November 30, 2011 were as follows:<BR><BR></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Contracts</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Issue</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Exchange</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Expiration</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Notional<BR>
Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>

</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Unrealized<BR>
Appreciation<BR>
(Depreciation)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>151</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>90-Day
Euro Dollar</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Chicago
Mercantile</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>December
2011</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>37,548,981</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(104,278</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>74</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>2-Year
US Treasury Note</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Chicago
Board of Trade</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>December
2011</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>16,307,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>420</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>163</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>5-Year
US Treasury Note</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Chicago
Board of Trade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>December
2011</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>20,050,274</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,338</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>30-Year
US Treasury Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Chicago
Board of Trade</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>December
2011</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,274,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>264</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>1,576</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>10-Year
US Treasury Note</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Chicago
Board of Trade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>March
2012</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>203,845,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>500,761</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>121</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>2-Year
US Treasury Note</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Chicago
Board of Trade</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>March
2012</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>26,680,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(17,246</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>62</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>30-Year
US Treasury Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>Chicago
Board of Trade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>March
2012</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>8,765,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>98,336</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Total</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>483,595</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="25%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>BLACKROCK INCOME TRUST, INC.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>NOVEMBER 30, 2011</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=1>7</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="100%" COLSPAN=2 VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=4>Schedule of Investments</FONT><FONT SIZE=2> (continued)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2><B>BlackRock Income Trust, Inc. (BKT)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&#149;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Interest rate swaps
outstanding as of November 30, 2011 were as follows: </FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="95%" style="margin-left:5%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="10%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>

</TD>
<TD WIDTH="25%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>Fixed<BR>
Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Floating<BR>
Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Counterparty</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Expiration<BR>
Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Notional<BR>
Amount<BR>
(000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Unrealized<BR>
Appreciation<BR>
(Depreciation)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>0.83%<SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Deutsche
Bank Securities, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>7/27/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>34,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(59,415</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>4.88%<SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>UBS
AG</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3/21/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>25,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,280,131</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>4.87%<SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Goldman
Sachs &amp; Co.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>1/25/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>847,732</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>2.81%<SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Citibank
NA</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>2/06/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>20,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,413,947</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>5.72%<SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>JPMorgan
Chase &amp; Co.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>7/14/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,099,822</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>1.22%<SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Deutsche
Bank Securities, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>10/06/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>15,244</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>5.51%<SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Bank
of America NA</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>8/03/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>95,147</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>20,986,351</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>5.88%<SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Deutsche
Bank Securities, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>6/25/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>31,930</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(7,945,617</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>4.55%<SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Citibank
NA</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>9/26/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>41,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(7,591,469</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>4.31%<SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Deutsche
Bank Securities, Inc. C</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>10/01/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>66,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(11,044,106</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>3.09%<SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Deutsche
Bank Securities, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3/09/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>25,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(2,241,373</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>3.17%<SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Bank
of America NA</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3/18/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>433,623</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>2.88%<SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Deutsche
Bank Securities, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4/01/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>39,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,866,296</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>3.23%<SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Deutsche
Bank Securities, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>5/19/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(270,418</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>3.90%<SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Barclays
PLC</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>6/05/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>20,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(2,885,146</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>3.55%<SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Deutsche
Bank Securities, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>8/18/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>15,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1,921,817</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>5.49%<SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>JPMorgan
Chase &amp; Co.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>10/28/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(328,829</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>3.67%<SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Deutsche
Bank Securities, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>12/21/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>258,666</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>5.67%<SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Citigroup
Global Markets, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>1/06/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>12,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(2,976,081</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>3.88%<SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Morgan
Stanley &amp; Co., Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>1/07/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,107,341</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>3.71%<SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Deutsche
Bank Securities, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>2/11/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(822,031</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>3.73%<SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Morgan
Stanley &amp; Co., Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>5/05/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>28,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,785,637</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>3.43%<SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>JPMorgan
Chase &amp; Co.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3/28/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,086,058</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>5.41%<SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=center><FONT SIZE=2>3-month
LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>JPMorgan
Chase &amp; Co.</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>8/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>9,565</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>2,908,982</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Total</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>2,003,528</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><SUP> (a)</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Pays fixed interest rate
and receives floating rate.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><SUP> (b)</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Pays floating interest rate
and receives fixed rate.</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="90%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&#149;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=TOP>
<P><FONT SIZE=2>Fair Value Measurements &#151;
Various inputs are used in determining the fair value of investments and
derivative financial instruments. These inputs are categorized into a
disclosure hierarchy consisting of three broad levels for financial reporting
purposes as follows: </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&#149;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Level 1 &#151; unadjusted price
quotations in active markets/exchanges for identical assets and liabilities</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&#149;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Level 2 &#151; other observable
inputs (including, but not limited to: quoted prices for similar assets or
liabilities in markets that are active, quoted prices for identical or
similar assets or liabilities in markets that are not active, inputs other
than quoted prices that are observable for the assets or liabilities (such as
interest rates, yield curves, volatilities, prepayment speeds, loss
severities, credit risks and default rates) or other market-corroborated
inputs) </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&#149;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Level 3 &#151; unobservable
inputs based on the best information available in the circumstances, to the
extent observable inputs are not available (including the Trust&#146;s own
assumptions used in determining the fair value of investments and derivative
financial instruments) </FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="55%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>BLACKROCK INCOME TRUST, INC.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>NOVEMBER 30, 2011</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=1>8</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="100%" COLSPAN=2 VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=4>Schedule of Investments</FONT><FONT SIZE=2> (continued)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2><B>BlackRock Income Trust, Inc. (BKT)</B></FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>Changes in valuation
techniques may result in transfers in or out of an assigned level within the
disclosure hierarchy. The categorization of a value determined for investments
and derivative financial instruments is based on the pricing transparency of
the investment and derivative financial instrument and does not necessarily
correspond to the Trust&#146;s perceived risk of investing in those securities. For
information about the Trust&#146;s policy regarding valuation of investments and
derivative financial instruments and other significant accounting policies,
please refer to the Trust&#146;s most recent financial statements as contained in
its annual report. </FONT></P>

<P><FONT SIZE=2>The following tables
summarize the inputs used as of November 30, 2011 in determining the fair
valuation of the Trusts&#146; investments and derivative financial instruments: </FONT></P>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="35%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>Valuation Inputs</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Level 1</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2><B>&nbsp;</B></FONT></P>

</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Level 2</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Level 3</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Total</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Assets:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Investments:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Long-Term Investments:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9,514,247</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,013,827</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10,528,074</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Non-Agency Mortgage-<BR>
Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>18,746,698</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,958,401</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>22,705,099</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>US Government <BR>
Sponsored Agency <BR>
Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>705,587,702</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,032,626</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>710,620,328</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>US Treasury <BR>
Obligations</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>121,519,695</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>121,519,695</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Short-Term Securities:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Borrowed Bonds<BR>
Agreements</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>11,776,319</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>11,776,319</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Money Market Funds</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>1,849,713</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>1,849,713</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Liabilities:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=2>Investments:</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Long-Term Investments:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Borrowed Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>(20,917,936</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=2>(20,917,936</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>TBA Sale Commitments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>(18,303,593</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>(18,303,593</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=2><B>Total</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>1,849,713</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>827,923,132</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>10,004,854</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>839,777,699</FONT></P>
</TD>
<TD VALIGN=BOTTOM  STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="35%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1><B>Valuation Inputs</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Level 1</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Level 2</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Level 3</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Total</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>&nbsp;</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Derivative Financial
Instruments<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Assets:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Interest rate contracts</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,665,770</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>41,852,915</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>44,518,685</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Liabilities:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2>Interest rate contracts</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>(150,225</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>(39,829,040</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>(39,979,265</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Total</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>2,515,545</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>2,023,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>4,539,420</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Derivative financial
instruments are swaps, financial futures contracts, interest rate floors and
options. Swaps and financial futures contracts are valued at the unrealized
appreciation/depreciation on the instrument and interest rate floors and
options are shown at value.</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="55%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>BLACKROCK INCOME TRUST, INC.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>NOVEMBER 30, 2011</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=1>9</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>
<BR>
<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="100%" COLSPAN=2 VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 5PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=4>Schedule of Investments</FONT><FONT SIZE=2> (concluded)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2><B>BlackRock Income Trust, Inc. (BKT)</B></FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=JUSTIFY><FONT SIZE=2>The
following table is a reconciliation of Level 3 investments for which
significant unobservable inputs were used to determine fair value: </FONT></P>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="35%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Asset-Backed<BR>
Securities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Non-Agency<BR>
Mortgage-Backed Securities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>US<BR>
Government<BR>
Sponsored<BR>
Agency<BR>
Securities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD COLSPAN=2 VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=1><B>Total</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6" >
<TD VALIGN=BOTTOM >
<P><FONT SIZE=2><B>Assets:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Balance, as of August 31,
2011</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,038,628</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,432,527
</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,096,285</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10,567,440</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6" >
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Accrued discounts/premiums</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(46,525</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>98,734</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>256</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>52,464</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Realized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(11,668</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(276</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(2,561</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(14,504</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Change in unrealized<BR>appreciation/depreciation<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>33,392</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(445,725</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,615</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(406,718</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Purchases</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Sales</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(126,859</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(66,969</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(193,829</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Transfers in<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Transfers out<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Balance,
as of November 30, 2011</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>1,013,827</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>3,958,401</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>5,032,626</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P ALIGN=RIGHT><FONT SIZE=2>10,004,854</FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="BORDER-BOTTOM:SOLID BLACK 2PX">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE="2"><SUP>2</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>The change in unrealized
appreciation/depreciation on securities still held on November 30, 2011 was
$(406,717). </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE="2"><SUP>3</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>The Trust&#146;s
policy is to recognize transfers in and transfers out as of the beginning of
the period of the event or the change in circumstances that caused the
transfer. <BR><BR>A reconciliation of Level 3 investments and derivative financial
instruments is presented when the Trust had a significant amount of Level 3
investments and derivatives at the beginning and/or end of the period in relation
to net assets. </FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR STYLE="FONT-SIZE:1PX">
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="55%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX">
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>BLACKROCK INCOME TRUST, INC.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>NOVEMBER 30, 2011</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=1>10</FONT></P>
</TD>
</TR>
</TABLE>

<!-- end -->
        <hr align="center" size="4" width="100%" noshade>

        <p style="PAGE-BREAK-BEFORE: always" align="left"></p>
        <PAGE>

        <div align="left">
            <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%">
                <tr>
                    <td valign="top" width="8%">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in"><font size="2">Item 2 &ndash; </font></p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in"><font size="2">Controls and Procedures</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="top" width="8%">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>
                </tr>

                <tr>
                    <td valign="top" width="8%">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in"><font size="2">2(a) &ndash; </font></p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in"><font size="2">The registrant&rsquo;s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant&rsquo;s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the &ldquo;1940 Act&rdquo;)) are effective as of a date within 90 days of the filing of this
                        report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="top" width="8%">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>
                </tr>

                <tr>
                    <td valign="top" width="8%">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in"><font size="2">2(b) &ndash; </font></p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in"><font size="2">There were no changes in the registrant&rsquo;s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant&rsquo;s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant&rsquo;s internal control over financial reporting.</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="top" width="8%">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>
                </tr>

                <tr>
                    <td valign="top" width="8%">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in"><font size="2">Item 3 &ndash; </font></p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in"><font size="2">Exhibits</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="top" width="8%">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>
                </tr>

                <tr>
                    <td valign="top" width="8%">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in"><font size="2">Certifications &ndash; Attached hereto</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="top" width="8%">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>
                </tr>

                <tr>
                    <td valign="top" width="8%">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in"><font size="2">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" width="8%">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>
                </tr>

                <tr>
                    <td valign="top" width="8%">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in"><font size="2">BlackRock Income Trust, Inc.</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="3">&nbsp;</td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom" width="5%"><font size="2">By:</font></td>

                    <td style="BORDER-BOTTOM: black 1px solid; PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom" width="25%"><font size="2">/s/ John M. Perlowski</font></td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom">
                        <p>&nbsp;</p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom">
                        <p>&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom" colspan="2">
                        <p><font size="2">John M. Perlowski</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom">
                        <p>&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom" colspan="2">
                        <p><font size="2">Chief Executive Officer (principal executive officer) of</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom">
                        <p>&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom" colspan="2">
                        <p><font size="2">BlackRock Income Trust, Inc.</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td valign="bottom" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td valign="bottom" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in"><font size="2">Date: January 23, 2012</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td valign="bottom" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td valign="bottom" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in"><font size="2">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></p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td valign="bottom" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom"><font size="2">By:</font></td>

                    <td style="BORDER-BOTTOM: black 1px solid; PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom"><font size="2">/s/ John M. Perlowski</font></td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom">
                        <p>&nbsp;</p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom">
                        <p>&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom" colspan="2">
                        <p><font size="2">John M. Perlowski</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom">
                        <p>&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom" colspan="2">
                        <p><font size="2">Chief Executive Officer (principal executive officer) of</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom">
                        <p>&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom" colspan="2">
                        <p><font size="2">BlackRock Income Trust, Inc.</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td valign="bottom" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td valign="bottom" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in"><font size="2">Date: January 23, 2012</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td valign="bottom" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom"><font size="2">By:</font></td>

                    <td style="BORDER-BOTTOM: black 1px solid; PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom"><font size="2">/s/ Neal J. Andrews</font></td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom">
                        <p>&nbsp;</p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom">
                        <p>&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom" colspan="2">
                        <p><font size="2">Neal J. Andrews</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom">
                        <p>&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom" colspan="2">
                        <p><font size="2">Chief Financial Officer (principal financial officer) of</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom">
                        <p>&nbsp;</p>
                    </td>

                    <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="bottom" colspan="2">
                        <p><font size="2">BlackRock Income Trust, Inc.</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="bottom">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in">&nbsp;</p>
                    </td>

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                    <td valign="bottom" colspan="3">
                        <p style="TEXT-ALIGN: left; LINE-HEIGHT: normal; TEXT-INDENT: 0pt; MARGIN: 0pt 0in"><font size="2">Date: January 23, 2012</font></p>
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<DOCUMENT>
<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>i00026_ex99-cert.htm
<TEXT>
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        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt"><b><font size="2">EX-99. CERT</font></b></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; TEXT-INDENT: -0.5in; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 1.08in">&nbsp;</p>

        <p style="BORDER-BOTTOM: 0.75pt solid; TEXT-ALIGN: left; PADDING-BOTTOM: 10px; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt"><b><font size="2">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002</font></b></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt">&nbsp;</p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt"><font size="2">I, John M. Perlowski, Chief Executive Officer (principal executive officer) of BlackRock Income Trust, Inc., certify that:</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt"><font size="2">1.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;I have reviewed this report on Form N-Q of BlackRock Income Trust, Inc.;</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt"><font size="2">2.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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 style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt"><font size="2">3.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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 style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt"><font size="2">4.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The registrant&rsquo;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>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0.5in"><font size="2">a)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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 style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0.5in"><font size="2">b)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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 style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0.5in"><font size="2">c)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;evaluated the effectiveness of the registrant&rsquo;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 style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0.5in"><font size="2">d)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;disclosed in this report any change in the registrant&rsquo;s internal control over financial reporting that occurred during the registrant&rsquo;s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant&rsquo;s internal control over financial reporting;
        and</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt"><font size="2">5.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The registrant&rsquo;s other certifying officer(s) and I have disclosed to the registrant&rsquo;s auditors and the audit committee of the registrant&rsquo;s board of directors (or persons performing the equivalent functions):</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0.5in"><font size="2">a)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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&rsquo;s ability to record, process, summarize, and report financial information; and</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0.5in"><font size="2">b)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant&rsquo;s internal control over financial reporting.</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt"><font size="2">Date: January 23, 2012 </font></p>

        <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%">
            <tr>
                <td style="BORDER-BOTTOM: black 1px solid; PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="top" width="25%"><font size="2">/s/ John M. Perlowski</font></td>

                <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="top">
                    <p>&nbsp;</p>
                </td>
            </tr>
        </table>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt"><font size="2">John M. Perlowski</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt"><font size="2">Chief Executive Officer (principal executive officer) of </font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt"><font size="2">BlackRock Income Trust, Inc.</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt">&nbsp;</p>
        <hr align="center" size="4" width="100%" noshade>

        <p style="PAGE-BREAK-BEFORE: always" align="left"></p>
        <PAGE>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt"><b><font size="2">EX-99. CERT</font></b></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; TEXT-INDENT: -0.5in; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 1.08in">&nbsp;</p>

        <p style="BORDER-BOTTOM: 0.75pt solid; TEXT-ALIGN: left; PADDING-BOTTOM: 10px; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt"><b><font size="2">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002</font></b></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt">&nbsp;</p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt"><font size="2">I, Neal J. Andrews, Chief Financial Officer (principal financial officer) of BlackRock Income Trust, Inc., certify that:</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt"><font size="2">1.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;I have reviewed this report on Form N-Q of BlackRock Income Trust, Inc.;</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt"><font size="2">2.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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 style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt"><font size="2">3.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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 style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt"><font size="2">4.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The registrant&rsquo;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>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0.5in"><font size="2">a)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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 style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0.5in"><font size="2">b)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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 style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0.5in"><font size="2">c)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;evaluated the effectiveness of the registrant&rsquo;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 style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0.5in"><font size="2">d)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;disclosed in this report any change in the registrant&rsquo;s internal control over financial reporting that occurred during the registrant&rsquo;s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant&rsquo;s internal control over financial reporting;
        and</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt"><font size="2">5.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The registrant&rsquo;s other certifying officer(s) and I have disclosed to the registrant&rsquo;s auditors and the audit committee of the registrant&rsquo;s board of directors (or persons performing the equivalent functions):</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0.5in"><font size="2">a)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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&rsquo;s ability to record, process, summarize, and report financial information; and</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0.5in"><font size="2">b)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant&rsquo;s internal control over financial reporting.</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt"><font size="2">Date: January 23, 2012 </font></p>

        <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%">
            <tr>
                <td style="BORDER-BOTTOM: black 1px solid; PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="top" width="25%"><font size="2">/s/ Neal J. Andrews</font></td>

                <td style="PADDING-BOTTOM: 0pt; PADDING-LEFT: 0pt; PADDING-RIGHT: 0pt; PADDING-TOP: 0pt" valign="top">
                    <p>&nbsp;</p>
                </td>
            </tr>
        </table>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt"><font size="2">Neal J. Andrews</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt"><font size="2">Chief Financial Officer (principal financial officer) of </font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt"><font size="2">BlackRock Income Trust, Inc.</font></p>

        <p style="TEXT-ALIGN: left; MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt">&nbsp;</p>
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