Stop parsing PDFs. Get the API. Request Access

AI Terminal

MODULE: AI_ANALYST
Interactive Q&A, Risk Assessment, Summarization
MODULE: DATA_EXTRACT
Excel Export, XBRL Parsing, Table Digitization
MODULE: PEER_COMP
Sector Benchmarking, Sentiment Analysis
SYSTEM ACCESS LOCKED
Authenticate / Register Log In

BLACKROCK INCOME TRUST, INC.

Regulatory Filings • Jul 2, 2004

Preview not available for this file type.

Download Source File

N-CSRS 1 c32731_n-csrs.htm

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:__ 811-05542 ______

____ The BlackRock Income Trust Inc. _____ (Exact name of registrant as specified in charter)

100 Bellevue Parkway, Wilmington, DE 19809
___________
(Address of principal executive offices) (Zip code)

Robert S. Kapito, President

The BlackRock Income Trust Inc.

____ 40 East 52nd Street, New York, NY 10022 ____ (Name and address of agent for service)

Registrant’s telephone number, including area code:_ 302 797-2162 ______

Date of fiscal year end:_ October 31, 2004 _______

Date of reporting period: __ April 30, 2004 ______

ITEM 1. Reports to Shareholders.

The Trust's semi-annual report transmitted to shareholders pursuant to rule 30e-1 under the Investment Company Act of 1940 is as follows:

FIXED INCOME LIQUIDITY EQUITIES ALTERNATIVES BLACKROCK SOLUTIONS

BlackRock Closed-End Funds Semi-Annual Report

APRIL 30, 2004 (UNAUDITED)

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)

BlackRock Core Bond Trust (BHK)

BlackRock High Yield Trust (BHY)

BlackRock Income Opportunity Trust (BNA)

BlackRock Income Trust Inc. (BKT)

BlackRock Limited Duration Income Trust (BLW)

BlackRock Strategic Bond Trust (BHD)

NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE

TABLE OF CONTENTS

Letter to Shareholders 1
Trust Summaries 2
Portfolios of Investments 9
Financial Statements
Statements of Assets and Liabilities 47
Statements of Operations 49
Statements of Cash Flows 51
Statements of Changes in Net Assets 53
Financial Highlights 56
Notes to Financial Statements 63
Dividend Reinvestment Plans 74
Additional Information 75

Privacy Principles of the Trusts

The Trusts are committed to maintaining the privacy of shareholders and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information the Trusts collect, how we protect that information and why, in certain cases, we may share information with select other parties.

Generally, the Trusts do not receive any non-public personal information relating to their shareholders, although certain non-public personal information of shareholders may become available to the Trusts. The Trusts do not disclose any non-public personal information about their shareholders or former shareholders to anyone, except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party administrator).

The Trusts restrict access to non-public personal information about their shareholders to BlackRock employees with a legitimate business need for the information. The Trusts maintain physical, electronic and procedural safeguards designed to protect the non-public personal information of their shareholders.

LETTER TO SHAREHOLDERS

April 30, 2004

Dear Shareholder:

We are pleased to report that during the semi-annual period, the Trusts provided monthly income, as well as the opportunity to invest in various portfolios of fixed income securities. This report contains the Trusts’ unaudited financial statements and a listing of the portfolios’ holdings.

The portfolio management team continuously monitors the fixed income markets and adjusts the portfolios in order to gain exposure to various issuers and security types. This strategy enables the Trusts to move among different sectors, credits and coupons to capitalize on changing market conditions.

The following table shows the Trusts’ yields, closing market prices per share and net asset values (“NAV”) per share as of April 30, 2004.

Trust Yield 1 Market Price NAV
BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT) 5.75 % $ 15.65 $ 15.75
BlackRock Core Bond Trust (BHK) 8.02 13.09 14.62
BlackRock High Yield Trust (BHY) 10.56 9.56 7.77
BlackRock Income Opportunity Trust (BNA) 7.92 10.61 11.93
BlackRock Income Trust Inc. (BKT) 8.78 6.98 6.99
BlackRock Limited Duration Income Trust (BLW) 7.97 18.82 19.85
BlackRock Strategic Bond Trust (BHD) 10.61 14.70 15.16

1 Yield is based on market price.

BlackRock, Inc. (“BlackRock”), a world leader in asset management, has a proven commitment to fixed income. As of March 31, 2004, BlackRock managed $225 billion in bonds, including 18 open-end and 47 closed-end bond funds. BlackRock is recognized for its emphasis on risk management and proprietary analytics and for its reputation managing money for the world’s largest institutional investors. BlackRock Advisors, Inc., which manages the Trusts, is a wholly-owned subsidiary of BlackRock, Inc.

On behalf of BlackRock, we thank you for your continued trust and assure you that we remain committed to excellence in managing your assets.

Sincerely,

Laurence D. Fink Chief Executive Officer BlackRock Advisors, Inc. Ralph L. Schlosstein President BlackRock Advisors, Inc.

1

TRUST SUMMARIES (unaudited) APRIL 30, 2004

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)

Trust Information

Symbol on American Stock Exchange: BCT
Initial Offering Date: June 17, 1993
Closing Market Price as of 4/30/04: $15.65
Net Asset Value as of 4/30/04: $15.75
Yield on Closing Market Price as of 4/30/04 ($15.65): 1 5.75 %
Current Monthly Distribution per Share: 2 $0.075
Current Annualized Distribution per Share: 2 $0.900

1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. 2 The distribution is not constant and is subject to change.

The table below summarizes the changes in the Trust’s market price and NAV:

4/30/04 10/31/03 Change High Low
Market Price $15.65 $15.85 (1.26 )% $16.52 $15.20
NAV $15.75 $16.02 (1.69 )% $16.58 $15.68

The following charts show the asset composition and credit quality allocations of the Trust’s long-term investments:

Sector Breakdown

Composition April 30, 2004 October 31, 2003
U.S. Government and Agency Securities 60 % 56 %
Agency Multiple Class Mortgage Pass-Throughs 11 8
Interest Only Mortgage-Backed Securities 9 12
Corporate Bonds 7 8
Taxable Municipal Bonds 5 5
Inverse Floating Rate Mortgages 5 8
Commercial Mortgage-Backed Securities 1 1
Mortgage Pass-Throughs 1 1
Other 1 1

Corporate Credit Breakdown 3

Credit Rating April 30, 2004 October 31, 2003
AA/Aa 38 % 35 %
A 37 43
BBB/Baa 23 21
CCC/Caa 2 1

3 Using the higher of Standard & Poor’s (“S&P”), Moody’s Investors Service (“Moody’s”) or Fitch Ratings (“Fitch”) rating. Corporate bonds represented approximately 9.9% and 11.0% of net assets on April 30, 2004, and October 31, 2003, respectively.

2

TRUST SUMMARIES (unaudited) APRIL 30, 2004

BlackRock Core Bond Trust (BHK)

Trust Information

Symbol on New York Stock Exchange: BHK
Initial Offering Date: November 27, 2001
Closing Market Price as of 4/30/04: $13.09
Net Asset Value as of 4/30/04: $14.62
Yield on Closing Market Price as of 4/30/04 ($13.09): 1 8.02 %
Current Monthly Distribution per Share: 2 $0.0875
Current Annualized Distribution per Share: 2 $1.0500

1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. 2 The distribution is not constant and is subject to change.

The table below summarizes the changes in the Trust’s market price and NAV:

4/30/04 10/31/03 Change High Low
Market Price $13.09 $13.57 (3.54 )% $14.50 $12.99
NAV $14.62 $14.75 (0.88 )% $15.45 $14.59

The following charts show the asset composition and credit quality allocations of the Trust’s long-term investments:

Sector Breakdown

Composition April 30, 2004 October 31, 2003
Corporate Bonds 40 % 46 %
U.S. Government and Agency Securities 36 16
Mortgage Pass-Throughs 16 26
Foreign Government Bonds 4 7
Interest Only Mortgage-Backed Securities 2 1
Commercial Mortgage-Backed Securities 1 2
Asset Backed Securities 1 —
Taxable Municipal Bonds — 2

Corporate Credit Breakdown 3

Credit Rating April 30, 2004 October 31, 2003
AAA/Aaa 3 % 3 %
AA/Aa 15 11
A 27 25
BBB/Baa 18 21
BB/Ba 12 12
B 20 23
CCC/Caa 4 5
Not Rated 1 —

3 Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 61.2% and 61.6% of net assets on April 30, 2004, and October 31, 2003, respectively.

3

TRUST SUMMARIES (unaudited) APRIL 30, 2004

BlackRock High Yield Trust (BHY)

Trust Information

Symbol on New York Stock Exchange: BHY
Initial Offering Date: December 23, 1998
Closing Market Price as of 4/30/04: $9.56
Net Asset Value as of 4/30/04: $7.77
Yield on Closing Market Price as of 4/30/04 ($9.56): 1 10.56%
Current Monthly Distribution per Share: 2 $0.084167
Current Annualized Distribution per Share: 2 $1.010004

1 Yield on closing market price is calculated by dividing the annualized distribution per share by the closing market price. 2 The distribution is not constant and is subject to change.

The table below summarizes the changes in the Trust’s market price and NAV:

4/30/04 10/31/03 Change High Low
Market Price $9.56 $10.25 (6.73 )% $11.75 $9.56
NAV $7.77 $6.96 11.64 % $7.83 $6.80

The following charts show the asset composition and credit quality allocations of the Trust’s corporate bond investments:

Corporate Sector Breakdown

Composition April 30, 2004 October 31, 2003
Finance & Banking 13 % 12 %
Media 13 11
Consumer Products 11 12
Energy 9 7
Chemical 7 7
Telecommunication 6 4
Electronics 6 7
Industrial Equipment 6 5
Container & Glass 5 4
Transportation 5 7
Home Furnishing 3 4
Automotive 3 3
Health Care 2 2
Aero & Defense 2 2
Ecological Services & Equipment 2 2
Building & Development 2 6
Conglomerates 2 2
Other 3 3

Corporate Credit Breakdown 3

Credit Rating April 30, 2004 October 31, 2003
BBB/Baa 2 % 3 %
BB/Ba 17 12
B 50 52
CCC/Caa 29 25
CC/Ca 1 5
Not Rated 1 3

3 Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 115.3% and 135.4% of net assets on April 30, 2004, and October 31, 2003, respectively.

4

TRUST SUMMARIES (unaudited) APRIL 30, 2004

BlackRock Income Opportunity Trust (BNA)

Trust Information

Symbol on New York Stock Exchange: BNA
Initial Offering Date: December 20, 1991
Closing Market Price as of 4/30/04: $10.61
Net Asset Value as of 4/30/04: $11.93
Yield on Closing Market Price as of 4/30/04 ($10.61): 1 7.92 %
Current Monthly Distribution per Share: 2 $0.07
Current Annualized Distribution per Share: 2 $0.84

1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. 2 The distribution is not constant and is subject to change.

The table below summarizes the changes in the Trust’s market price and NAV:

4/30/04 10/31/03 Change High Low
Market Price $10.61 $10.95 (3.11 )% $11.63 $10.53
NAV $11.93 $11.93 — % $12.40 $11.82

The following charts show the asset composition and credit quality allocations of the Trust’s long-term investments:

Sector Breakdown

Composition April 30, 2004 October 31, 2003
Corporate Bonds 53 % 59 %
Mortgage Pass-Throughs 23 29
U.S. Government and Agency Securities 16 7
Interest Only Mortgage-Backed Securities 4 2
Federal Housing Administration 1 2
Asset-Backed Securities 1 —
Inverse Floating Rate Mortgages 1 1
Foreign Government Bonds 1 —

Corporate Credit Breakdown 3

Credit Rating April 30, 2004 October 31, 2003
AAA/Aaa 5 % 6 %
AA/Aa 12 12
A 23 22
BBB/Baa 21 19
BB/Ba 15 17
B 21 22
CCC/Caa 3 2

3 Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 66.2% and 71.2% of net assets on April 30, 2004, and October 31, 2003, respectively.

5

TRUST SUMMARIES (unaudited) APRIL 30, 2004

BlackRock Income Trust Inc. (BKT)

Trust Information

Symbol on New York Stock Exchange: BKT
Initial Offering Date: July 22, 1988
Closing Market Price as of 4/30/04: $6.98
Net Asset Value as of 4/30/04: $6.99
Yield on Closing Market Price as of 4/30/04 ($6.98): 1 8.78%
Current Monthly Distribution per Share: 2 $0.051042
Current Annualized Distribution per Share: 2 $0.612504

1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. 2 The distribution is not constant and is subject to change.

The table below summarizes the changes in the Trust’s market price and NAV:

4/30/04 10/31/03 Change High Low
Market Price $6.98 $7.71 (9.47 )% $7.96 $6.93
NAV $6.99 $7.21 (3.05 )% $7.25 $6.99

The following chart shows the asset composition of the Trust’s long-term investments:

Sector Breakdown

Composition April 30, 2004 October 31, 2003
U.S. Government and Agency Securities 35 % 30 %
Mortgage Pass-Throughs 23 32
Interest Only Mortgage-Backed Securities 13 15
Principal Only Mortgage-Backed Securities 9 11
Agency Multiple Class Mortgage Pass-Throughs 7 3
Collateralized Mortgage Obligation Residuals 6 —
Inverse Floating Rate Mortgages 2 4
Federal Housing Administration 2 3
Commercial Mortgage-Backed Securities 2 2
Asset-Backed Securities 1 —

6

TRUST SUMMARIES (unaudited) APRIL 30, 2004

BlackRock Limited Duration Income Trust (BLW)

Trust Information

Symbol on New York Stock Exchange: BLW
Initial Offering Date: July 30, 2003
Closing Market Price as of 4/30/04: $18.82
Net Asset Value as of 4/30/04: $19.85
Yield on Closing Market Price as of 4/30/04 ($18.82): 1 7.97 %
Current Monthly Distribution per Share: 2 $0.125
Current Annualized Distribution per Share: 2 $1.500

1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. 2 The distribution is not constant and is subject to change.

The table below summarizes the Trust’s market price and NAV:

4/30/04 10/31/03 Change High Low
Market Price $18.82 $18.80 0.11 % $20.45 $18.15
NAV $19.85 $19.74 0.56 % $20.32 $19.63

The following charts show the asset composition and credit quality allocations of the Trust’s long-term investments:

Sector Breakdown

Composition April 30, 2004 October 31, 2003
Corporate Bonds 43 % 47 %
Bank Loans 28 20
Mortgage Pass-Throughs 16 24
U.S. Government and Agency Securities 8 8
Foreign Government Bonds 2 1
Collateralized Mortgage Obligation Residuals 2 —
Asset-Backed Securities 1 —

Corporate Credit Breakdown 3

Credit Rating April 30, 2004 October 31, 2003
A 6 % 6 %
BBB/Baa 8 8
BB/Ba 27 26
B 58 60
CCC/Caa 1 —

3 Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 63.7% and 64.6% of net assets on April 30, 2004, and October 31, 2003, respectively.

7

TRUST SUMMARIES (unaudited) APRIL 30, 2004

BlackRock Strategic Bond Trust (BHD)

Trust Information

Symbol on New York Stock Exchange: BHD
Initial Offering Date: February 26, 2002
Closing Market Price as of 4/30/04: $14.70
Net Asset Value as of 4/30/04: $15.16
Yield on Closing Market Price as of 4/30/04 ($14.70): 1 10.61 %
Current Monthly Distribution per Share: 2 $0.13
Current Annualized Distribution per Share: 2 $1.56

1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. 2 The distribution is not constant and is subject to change.

The table below summarizes the changes in the Trust’s market price and NAV:

4/30/04 10/31/03 Change High Low
Market Price $14.70 $15.27 (3.73 )% $16.68 $14.28
NAV $15.16 $15.07 0.60 % $15.60 $15.00

The following charts show the asset composition and credit quality allocations of the Trust’s corporate bond investments:

Corporate Sector Breakdown

Composition April 30, 2004 October 31, 2003
Energy 16 % 16 %
Finance & Banking 14 12
Media 10 10
Automotive 10 11
Telecommunication 7 7
Health Care 6 5
Conglomerates 4 4
Aero & Defense 4 3
Chemical 3 4
Ecological Services & Equipment 3 3
Transportation 3 2
Hotels & Casinos 3 2
Building & Development 2 4
Forest Products 2 2
Container & Glass 2 2
Real Estate 2 2
Basic Material 2 2
Industrial Equipment 2 3
Consumer Products 2 3
Technology 2 2
Other 1 1

Corporate Credit Breakdown 3

Credit Rating April 30, 2004 October 31, 2003
AAA/Aaa 1 % 1 %
AA/Aa 5 5
A 9 9
BBB/Baa 10 10
BB/Ba 23 23
B 46 47
CCC/Caa 6 4
Not Rated — 1

3 Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 123.7% and 134.4% of net assets on April 30, 2004, and October 31, 2003, respectively.

8

CONSOLIDATED PORTFOLIO OF INVESTMENTS (unaudited) APRIL 30, 2004

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)

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

See Notes to Financial Statements.

9

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT) (continued)

Principal
Amount
Rating 1 (000) Description Value
Interest Only Mortgage-Backed Securities—(cont’d)
Federal National Mortgage Assoc.,
$ 458 Ser. 8, Class HA, 1/25/08 $ 72,584
3,000 Ser. 13, Class IG, 10/25/22 347,970
447 Ser. 20, Class SL, 9/25/08 84,834
73 Ser. 39, Class PE, 1/25/23 1,766
104 Ser. 42, Class SO, 3/25/23 1,365
1,312 Ser. 49, Class L, 4/25/13 98,986
1,135 Ser. 51, Class K, 4/25/07 130,477
12,992 Ser. 70, Class ID, 4/25/22 1,832,002
119 Ser. 72, Class H, 7/25/06 12,504
711 Ser. 80, Class PI, 9/25/23 6,955
2,000 Ser. 82, Class IR, 9/25/12 124,040
844 Ser. 90, Class M, 1/25/28 124,825
7 Ser. 174, Class S, 9/25/22 22,699
293 Ser. 194, Class PV, 6/25/08 11,805
951 Ser. 208, Class S, 2/25/23 33,784
267 Ser. 223, Class PT, 10/25/23 22,366
6 Ser. G-21, Class L, 7/25/21 9,568
49 PNC Mortgage Securities Corp., Ser. 8, Class 4-X, 10/25/13 2,184
4,359 Structured Asset Securities Corp., Ser. ALS1, Class 3AX, 5/25/29 1,630
26,403 Vendee Mortgage Trust, Ser. 1, Class IO, 10/15/31 32,476
Total Interest Only Mortgage-Backed Securities 5,573,316
Principal Only Mortgage-Backed Securities—0.1%
Aaa 47 Salomon Brothers Mortgage Securities Inc. VI, Ser. 3, Class A, 10/23/17 43,563
Commercial Mortgage-Backed Securities—1.7%
AAA 750 2 New York City Mortgage Loan Trust, Multi-Family, Class A2, 6.75%, 6/25/11 812,766
Asset-Backed Securities—0.1%
NR 238 2,3,4 Global Rated Eligible Asset Trust, Ser. A, Class 1, 7.33%, 9/15/07 5,960
Structured Mortgage Asset Residential Trust,
NR 576 3,4 Ser. 2, 8.24%, 3/15/06 7,925
NR 639 3,4 Ser. 3, 8.724%, 4/15/06 8,784
Total Asset-Backed Securities 22,669
Corporate Bonds—9.9%
Chemical—2.6%
A+ 1,000 Dow Capital BV, 9.20%, 6/01/10 1,198,500
Consumer Products—1.1%
BBB+ 500 General Mills, 8.75%, 9/15/04 512,965
Energy—1.2%
BBB+ 500 2 Israel Electric Corp., Ltd., 7.25%, 12/15/06 (Israel) 542,755
Finance & Banking—3.7%
AA- 1,000 5 Morgan Stanley Group, Inc., 10.00%, 6/15/08 1,218,500
AA+ 500 UBS PaineWebber Group, Inc., 8.875%, 3/15/05 526,785
1,745,285
Telecommunication—1.1%
A 500 ALLTEL Corp., 7.50%, 3/01/06 542,390
Transportation—0.2%
CCC 100 American Airlines, Inc., 10.44%, 3/04/07 84,000
Total Corporate Bonds 4,625,895
U.S. Government and Agency Securities—82.3%
214 Small Business Investment Companies, Ser. P10A, Class 1, 6.12%, 2/01/08 226,325
27,000 5 U.S. Treasury Bond, zero coupon, 11/15/09 21,662,937
U.S. Treasury Notes,
3,200 3.50%, 11/15/06 3,267,002
7,000 5 4.375%, 8/15/12 7,014,209
1,700 5.75%, 11/15/05 1,795,360
3,550 6.00%, 8/15/09 3,937,727
385 6.625%, 5/15/07 426,493
Total U.S. Government and Agency Securities 38,330,053

See Notes to Financial Statements.

10

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT) (continued)

Principal
Amount
Rating 1 (000) Description Value
Taxable Municipal Bonds—7.4%
AAA $ 500 Fresno California Pension Oblig., 7.80%, 6/01/14 $ 609,260
AAA 500 Kern County California Pension Oblig., 6.98%, 8/15/09 573,805
Los Angeles County California Pension Oblig.,
AAA 1,000 Ser. A, 8.62%, 6/30/06 1,131,050
AAA 500 Ser. D, 6.97%, 6/30/08 568,560
AAA 500 Orleans Parish Louisiana School Board, Ser. A, 6.60%, 2/01/08 549,245
Total Taxable Municipal Bonds 3,431,920
Total Long-Term Investments (cost 63,243,903) 64,072,590
SHORT-TERM INVESTMENT—10.3%
U.S. Government Agency Security—10.3%
4,800 Federal Home Loan Bank, zero coupon, 5/03/04 (cost $4,799,773) 4,799,773
Total investments—147.9% (cost $68,043,676) 68,872,363
Liabilities in excess of other assets—(47.9)% (22,312,296)
Net Assets—100% $ 46,560,067

1 Using the higher of S&P’s, Moody’s or Fitch’s rating. 2 Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2004, the Trust held 2.9% of its net assets, with a current market value of $1,361,481, in securities restricted as to resale. 3 Security is fair valued. 4 Illiquid securities representing 0.05% of net assets. 5 Entire or partial principal amount pledged as collateral for reverse repurchase agreements or financial futures contracts.

Details of open reverse repurchase agreements are disclosed in Note 4 in the Notes to Financial Statements.

See Notes to Financial Statements.

11

PORTFOLIO OF INVESTMENTS (unaudited) APRIL 30, 2004

BlackRock Core Bond Trust (BHK)

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

See Notes to Financial Statements.

12

BlackRock Core Bond Trust (BHK) (continued)

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

See Notes to Financial Statements.

13

BlackRock Core Bond Trust (BHK) (continued)

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

See Notes to Financial Statements.

14

BlackRock Core Bond Trust (BHK) (continued)

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

See Notes to Financial Statements.

15

BlackRock Core Bond Trust (BHK) (continued)

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

See Notes to Financial Statements.

16

BlackRock Core Bond Trust (BHK) (continued)

Principal
Amount
Rating 1 (000) Description Value
Transportation—1.6%
Aa3 $ 1,470 Burlington Northern Santa Fe Railway, Ser. 1, 8.251%, 1/15/21 $ 1,799,722
BBB+ 1,410 2 Canadian National Railway Co., 6.90%, 7/15/28 (Canada) 1,535,589
BBB 1,450 Canadian Pacific Railway Ltd., 6.25%, 10/15/11 (Canada) 1,569,031
B 1,635 Sea Containers Ltd., 10.50%, 5/15/12 (Bermuda) 1,618,650
6,522,992
Total Corporate Bonds 241,384,024
Taxable Municipal Bonds—0.3%
A3 650 California Dept. of Wtr. Res. Pwr. Sply., 3.975%, 5/01/05 662,058
AA 350 Ohana Military Cmntys. LLC, 6.193%, 4/01/49 350,669
Total Taxable Municipal Bonds 1,012,727
Foreign Government Bonds—6.6%
AAA 3,925 Germany Federal Republic, 4.25%, 1/04/14 4,734,365
Aaa 1,075 Kingdom of Spain, 5.15%, 7/30/09 1,390,163
Kingdom of Sweden,
AAA 21,325 5.00%, 1/28/09 2,926,605
AAA 17,515 8.00%, 8/15/07 2,614,324
Quebec Province Canada,
AA- 250 7.00%, 1/30/07 275,278
AA- 550 7.38%, 4/09/26 646,773
AAA 3,850 United Kingdom Treasury Bond, 5.00%, 3/07/08 6,871,143
United Mexican States,
Baa2 350 4.625%, 10/08/08 348,250
Baa2 4,000 6.625%, 3/03/15 4,040,000
Baa2 2,255 8.00%, 9/24/22 2,385,790
Total Foreign Government Bonds 26,232,691
Total Long-Term Investments (cost $607,301,070) 611,547,467
SHORT-TERM INVESTMENTS—9.0%
U.S. Government and Agency Securities—9.0%
Federal Home Loan Bank,
15,100 zero coupon, 5/03/04 15,099,286
15,925 zero coupon, 5/19/04 15,917,436
4,233 Federal Home Loan Mortgage Corp., zero coupon, 5/06/04 4,233,081
462 U.S. Treasury Bonds, zero coupon, 5/04/04 462,063
Total Short-Term Investments (cost $35,711,866) 35,711,866
Total investments before outstanding options written (cost $643,012,936) 647,259,333
Notional
Amount
(000)
Outstanding Options Written—(0.3%)
3,200 Federal National Mortgage Assoc., zero coupon, 5/06/04 0
52,700 Interest Rate Swap, 3.60% over 3-month LIBOR, expires 11/01/04 (160,053)
39,000 Interest Rate Swap, 5.75% over 3-month LIBOR, expires 9/23/05 (643,890)
11,100 Interest Rate Swap, 6.00% over 3-month LIBOR, expires 10/25/04 (229,104)
52 U.S. Treasury Bond Futures, expires 5/22/04 (95,875)
6 U.S. Treasury Bond Futures, expires 8/27/04 (24,562)
Total Outstanding Options Written (premium received $1,904,227) (1,153,484)
Total investments, net of outstanding options written—163.5% 646,105,849
Liabilities in excess of other assets—(63.5)% (251,005,182)
Net Assets—100% $ 395,100,667

1 Using the higher of S&P’s, Moody’s or Fitch’s rating. 2 Entire or partial principal amount pledged as collateral for reverse repurchase agreements or financial futures contracts. 3 Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2004, the Trust held 9.1% of its net assets, with a current market value of $35,824,366, in securities restricted as to resale.

Details of open reverse repurchase agreements are disclosed in Note 4 in the Notes to Financial Statements.

See Notes to Financial Statements.

17

PORTFOLIO OF INVESTMENTS (unaudited) APRIL 30, 2004

BlackRock High Yield Trust (BHY)

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

See Notes to Financial Statements.

18

BlackRock High Yield Trust (BHY) (continued)

Principal
Amount
Rating 1 (000) Description Value
Farming & Agriculture—0.5%
B2 $ 250 5 Gold Kist, Inc., 10.25%, 3/15/14 $ 262,500
Finance & Banking—15.3%
CCC 500 5 Alamosa Delaware, Inc., 8.50%, 1/31/12 483,750
NR 500 2,3,5 Ameriserve Finance Capital Corp., 12.00%, 9/15/06 25,000
Ba2 1,000 5 Capital Guardian High Yield, CBO, Ltd., Ser. 1A, 11.45%, 5/24/13 (Cayman Island) 907,800
BB 1,200 Crum & Forster Holdings Corp., 10.375%, 6/15/13 1,326,000
BB 960 Fairfax Financial Holdings Ltd., 6.875%, 4/15/08 (Canada) 988,800
B a3 2,500 5 First Dominion Funding II, Ser. 1A, 11.614%, 4/25/14 (Cayman Island) 1,941,500
CCC+ 1,000 Madison River Capital Corp., 13.25%, 3/01/10 1,087,500
B2 500 5 WMC Finance Co., 11.75%, 12/15/08 615,000
C 2,314 5 Zais Investment Grade Ltd., Class C, Pay-in-kind, 9.95%, 9/23/14 (Cayman Island) 231,360
7,606,710
Forest Products—1.0%
BB- 500 Tembec Inds Inc., 8.625%, 6/30/09 (Canada) 507,500
Health Care—2.3%
B- 1,000 MedQuest Inc., Ser. B, 11.875%, 8/15/12 1,130,000
Home Furnishing—3.6%
CCC 1,760 O’Sullivan Industries, Inc., 13.375%, 10/15/09 897,600
CCC+ 1,000 Salton, Inc., 12.25%, 4/15/08 895,000
1,792,600
Industrial Equipment—6.5%
CCC 375 Blount, Inc., 13.00%, 8/01/09 401,250
B- 1,000 Concentra Operating Corp., Ser. B, 13.00%, 8/15/09 1,097,500
B 250 5 Mail Well I Corp., 7.875%, 12/01/13 235,625
B2 500 MSX Intl., 11.00%, 10/15/07 485,000
B- 500 Von Hoffmann Corp., 10.375%, 5/15/07 501,250
B- 500 Williams Scotsman, Inc., 9.875%, 6/01/07 497,500
3,218,125
Marketing—1.1%
B- 500 5 Affinity Group, Inc., 9.00%, 2/15/12 532,500
Media—14.5%
B1 2,000 Alliance Atlantis Communications, Inc., 13.00%, 12/15/09 (Canada) 2,230,000
Charter Communications Holdings LLC,
CCC- 1,000 10.75%, 10/01/09 887,500
CCC- 1,000 11.125%, 1/15/11 887,500
B3 500 5 Granite Broadcasting Corp., 9.75%, 12/01/10 485,000
CCC+ 1,000 WRC Media Inc., 12.75%, 11/15/09 1,000,000
CCC+ 980 XM Satellite Radio Inc., 14.00%, 3/15/10 1,087,800
CC 689 Ziff Davis Media, Inc., Ser. B, Pay-in-Kind, 12.00%, 8/12/09 644,430
7,222,230
Non-Ferrous Metals & Minerals—0.5%
NR 376 2,3,4 Republic Engineered Products LLC, 10.00%, 8/16/09 263,530
NR 2,000 2,3 Republic Technologies International LLC, 13.75%, 7/15/09 0
263,530
Pharmaceuticals—1.0%
B- 500 5 Curative Hlth. Svcs. Inc., 10.75%, 5/01/11 501,875
Telecommunication—7.4%
B- 500 ACC Escrow Corp., Ser. B, 10.00%, 8/01/11 482,500
NR 2,000 2,3 Asia Global Crossing Ltd., 13.375%, 10/15/10 (United Kingdom) 220,000
B3 250 5 IPCS, Inc., 11.50%, 5/01/12 255,000
B3 1,500 5 Qwest Communications Intl., 7.50%, 2/15/14 1,380,000
B3 1,000 Time Warner Telecom LLC, 9.75%, 7/15/08 855,000
CCC 500 2,4 UbiquiTel Operating Co., 9.875%, 3/01/11 501,250
NR 600 2,3 Velocita Corp., 13.75%, 5/15/10 60
3,693,810

See Notes to Financial Statements.

19

BlackRock High Yield Trust (BHY) (continued)

Principal
Amount
Rating 1 (000) Value
Transportation—5.3%
BB+ $ 500 Overseas Shipholding Group, 7.50%, 2/15/24 $ 493,120
B 1,000 Sea Containers Ltd., Ser. B, 10.75%, 10/15/06(Bermuda) 1,051,250
B+ 1,000 TFM SA de CV, 12.50%, 6/15/12(Mexico) 1,080,000
2,624,370
Total Corporate Bonds 57,292,803
Bank Loans—1.0%
BCP Luxemburg Holdings,
375 9.10%, 2/19/05 374,062
125 10.10%, 2/19/05 124,688
Total Bank Loans 498,750
Shares
Common Stock—2.8%
8 Mattress Discounters Corp 0
54 2 Neon Communications Inc 134,055
134 NES Rentals Holdings, Inc 1,273,380
Total Common Stock 1,407,435
Preferred Securities—0.0%
1,098 3 Adelphia Business Solutions, Inc., Ser. B, 12.875% 0
Units
Warrants—0.0%
14 2,5 Mattress Discounters Corp., Expires 7/15/07 0
54 2 Neon Communications, Inc., Expires 12/02/12 1
14 2,5 PF. Net Communications, Inc., Expires 5/15/10 0
24 2,5 Republic Technologies International LLC, Expires 7/15/09 20
Total Warrants 21
Total Long-Term Investments (cost $66,656,401) 59,199,009
Principal
Amount
(000 )
SHORT-TERM INVESTMENT—16.7%
U.S. Government Agency Security—16.7%
8,300 Federal Home Loan Bank, zero coupon, 5/03/04 (cost $8,299,608) 8,299,608
Total investments—135.8% (cost $74,956,009) 67,498,617
Liabilities in excess of other assets—(35.8)% (17,776,577 )
Net Assets—100% $ 49,722,040

1 Using the higher of S&P’s, Moody’s or Fitch’s rating. 2 Illiquid securities representing 2.5% of net assets. 3 Issuer is technically in default and/or bankruptcy. 4 Security is fair valued. 5 Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2004, the Trust held 19.2% of its net assets, with a current market value of $9,570,481, in securities restricted as to resale.

See Notes to Financial Statements.

20

PORTFOLIO OF INVESTMENTS (unaudited) APRIL 30, 2004

BlackRock Income Opportunity Trust (BNA)

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

See Notes to Financial Statements.

21

BlackRock Income Opportunity Trust (BNA) (continued)

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

See Notes to Financial Statements.

22

BlackRock Income Opportunity Trust (BNA) (continued)

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

See Notes to Financial Statements.

23

BlackRock Income Opportunity Trust (BNA) (continued)

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

See Notes to Financial Statements.

24

BlackRock Income Opportunity Trust (BNA) (continued)

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

See Notes to Financial Statements.

25

BlackRock Income Opportunity Trust (BNA) (continued)

Principal
Amount
Rating 1 (000) Description Value
Real Estate—0.7%
BBB+ $ 1,000 AvalonBay Communities, Inc., 6.625%, 9/15/11 $ 1,084,300
BBB+ 800 EOP Operating LP, 7.00%, 7/15/11 887,496
Ba3 802 HMH Properties, Inc., Ser. B, 7.875%, 8/01/08 832,075
2,803,871
Technology—0.5%
BB+ 2,000 Seagate Technology Holdings, 8.00%, 5/15/09 2,160,000
Telecommunication—3.8%
BBB 2,460 AT&T Broadband Corp., 8.375%, 3/15/13 2,931,631
BBB+ 2,000 Deutsche Telekom Intl. Finance BV, 8.50%, 6/15/10 (Netherlands) 2,363,000
Ba3 3,000 PanAmSat Corp., 8.50%, 2/01/12 3,390,000
SBC Communications, Inc.,
A+ 450 5.875%, 8/15/12 468,671
A+ 1,000 6.25%, 3/15/11 1,073,020
A+ 1,000 Verizon Global Funding Corp., 7.75%, 6/15/32 1,141,190
AA 3,000 Verizon Pennsylvania, Inc., Ser. A, 5.65%, 11/15/11 3,105,960
A 1,000 Vodafone Group PLC, 7.75%, 2/15/10 (United Kingdom) 1,159,260
15,632,732
Transportation—2.0%
BBB+ 1,000 Burlington Northern Santa Fe Corp., 5.90%, 7/01/12 1,052,810
BBB+ 1,000 Canadian National Railway Co., 6.375%, 10/15/11 (Canada) 1,089,550
BBB 1,475 Canadian Pacific Railway Ltd., 6.25%, 10/15/11 (Canada) 1,596,083
B 2,000 Railamerica Transportation Corp., 12.875%, 8/15/10 2,320,000
BBB+ 2,000 Union Pacific Corp., 6.125%, 1/15/12 2,135,600
8,194,043
Total Corporate Bonds 272,060,338
Foreign Government Bonds—0.8%
Baa2 3,000 United Mexican States, 8.00%, 9/24/22 3,174,000
Total Long-Term Investments (cost $501,821,204) 516,578,336
SHORT-TERM INVESTMENT—7.9%
U.S. Government and Agency Security—7.9%
32,629 U.S. Treasury Notes, zero coupon, 5/03/04 (cost $32,628,750) 32,628,750
Total investments before investment sold short and outstanding options written (cost $534,449,954) 549,207,086
INVESTMENT SOLD SHORT—(7.8%)
(33,000 ) U.S. Treasury Notes, 2.625%, 5/15/08 (proceeds $ 32,271,393) (32,141,472 )
Outstanding Options Written—(0.5%)
56,300 Interest Rate Swap, 3.60% over 3-month LIBOR, expires 11/01/04 (170,986 )
55,000 Interest Rate Swap, 5.75% over 3-month LIBOR, expires 9/23/05 (908,050 )
11,900 Interest Rate Swap, 6.00% over 3-month LIBOR, expires 10/25/04 (245,616 )
55 U.S. Treasury Bond Futures, expires 5/22/04 (101,406 )
156 U.S.Treasury Bond Futures, expires 8/27/04 (638,625 )
Total Outstanding Options Written (premium received $2,658,335) (2,064,683 )
Total investments, net of investments sold short and outstanding options written—125.3% 515,000,931
Liabilities in excess of other assets—(25.3)% (104,119,186 )
Net Assets—100% $ 410,881,745

1 Using the higher of S&P’s, Moody’s or Fitch’s rating. 2 Entire or partial principal amount pledged as collateral for reverse repurchase agreements or financial futures contracts. 3 Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2004, the Trust held 5.8% of its net assets, with a current market value of $23,645,260, in securities restricted as to resale.

Details of open reverse repurchase agreements are disclosed in Note 4 in the Notes to Financial Statements.

See Notes to Financial Statements.

26

PORTFOLIO OF INVESTMENTS (unaudited) APRIL 30, 2004

BlackRock Income Trust Inc. (BKT)

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

See Notes to Financial Statements.

27

BlackRock Income Trust Inc. (BKT) (continued)

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

See Notes to Financial Statements.

28

BlackRock Income Trust Inc. (BKT) (continued)

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

See Notes to Financial Statements.

29

BlackRock Income Trust Inc. (BKT) (continued)

Principal
Amount
Rating 1 (000) Description Value
Interest Only Mortgage-Backed Securities—(cont’d)
$ 5,568 Ser. 199, Class SB, 10/25/23 $ 439,669
5,068 Ser. 302, Class 2, 6/1/29 1,135,580
3,825 Ser. 339, Class 8, 7/1/33 688,537
9,395 Ser. 602, Class BI, 10/25/22 1,453,412
156 Ser. G-50, Class G, 12/25/21 22,455
134 Ser. G92-12, Class C, 2/25/22 22,759
1,543 Ser. G92-60, Class SB, 10/25/22 42,160
1,627 Ser. W4, 12/25/28 288,599
186 First Boston Mortgage Securities Corp., Ser. C, Class I, 4/25/17 32,167
32,970 GMAC Commercial Mortgage Securities, Inc., Ser. C1, Class X, 7/15/27 1,705,639
20,936 3 Goldman Sachs Mortgage Securities Corp., Ser. 5, 2/19/25 418,723
11,790 3 Hanover Grantor Trust, Ser. A, Class 1, 8/1/27 88,423
166 Kidder Peabody Acceptance Corp., Ser. B, Class A2, 4/22/18 34,468
5,345 Merrill Lynch Mortgage Investors, Inc., Ser. C2, 6/15/21 111,035
9,925 3 Morgan Stanley Capital 1, Inc., Ser. HF1, Class X, 6/15/17 319,545
39 Prudential Securities Inc., Ser. 15, Class 1G, 5/20/21 15,816
3,453 Residential Accredit Loans, Inc., Ser. QS7, Class A1, 4/25/33 719,658
23,726 Small Business Administration, Ser. 1, 4/1/15 177,945
199,701 Vendee Mortgage Trust, Ser. 2, Class 1, 5/15/29 293,560
Total Interest Only Mortgage-Backed Securities 88,405,854
Principal Only Mortgage-Backed Securities—12.4%
AAA 162 Collateralized Mortgage Obligation Trust, Ser. 29, Class A, 5/23/17 146,198
Countrywide Home Loans Inc.,
AAA 8,959 Ser. 26, 8/25/33 6,117,969
AAA 1,678 Ser. J4, 6/25/33 1,346,865
AAA 2,291 Ser. J5, 7/25/33 1,564,892
AAA 1,594 Ser. J8, 9/25/23 1,073,148
Drexel Burnham Lambert, Inc.,
AAA 67 Ser. K, Class 1, 9/23/17 59,149
AAA 685 Ser. V, Class 1, 9/1/18 630,606
Federal Home Loan Mortgage Corp.,
415 Ser. 1418, Class M, 11/15/22 381,343
1,112 Ser. 1571, Class G, 8/15/23 967,842
5,411 Ser. 1691, Class B, 3/15/24 4,670,727
649 Ser. 1739, Class B, 2/15/24 602,257
562 Ser. T-8, Class A-10, 11/15/28 477,617
Federal National Mortgage Assoc.,
106 Ser. 7, Class J, 2/25/21 94,338
2,540 Ser. 13, Class PR, 3/25/32 2,133,207
154 Ser. 51, Class E, 2/25/23 106,619
71 Ser. 70, Class A, 5/25/23 61,799
72 Ser. 167, Class D, 10/25/17 68,449
123 Ser. 203, Class 1, 2/1/23 105,299
95 Ser. 228, Class 1, 5/1/23 81,759
4,052 Ser. 249, Class B, 11/25/23 3,335,397
683 Ser. 273, Class 1, 7/1/26 580,961
419 Ser. 279, Class 1, 7/1/26 360,731
12,084 Ser. 328, Class 1, 11/1/32 9,478,417
10,130 Ser. 329, Class 1, 12/1/32 7,503,664
4,038 Ser. 333, Class 1, 3/1/33 2,959,209
7,242 Ser. 338, Class 1, 6/1/33 5,291,512
822 Ser. G93-2, Class KB, 1/25/23 740,148
800 Ser. W4, 2/25/29 587,955
AAA 118 First Union Residential Securitization Trust, Ser. A, Class 1APO, 3/25/15 110,440
AAA 700 MASTR Asset Securitization Trust, Ser. 3, Class 4A15, 3/25/34 381,500
AAA 55 Structured Mortgage Asset Residential Trust, Ser. 3C, Class CX, 4/25/24 50,462
NR 13,000 2 Resolution Funding Corp., Ser. B, 4/15/30 2,837,120
Total Principal Only Mortgage-Backed Securities 54,907,599

See Notes to Financial Statements.

30

BlackRock Income Trust Inc. (BKT) (continued)

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

See Notes to Financial Statements.

31

BlackRock Income Trust Inc. (BKT) (continued)

Notional
Amount
(000) Description Value
Outstanding Options Written—(0.8%)
$ 19,000 Interest Rate Swap, zero coupon over 3 month LIBOR, expires 12/05/05 $ (752,400 )
9,000 Interest Rate Swap, 4.90% over 3-month LIBOR, expires 12/05/05 (181,260 )
60,500 Interest Rate Swap, 3.60% over 3-month LIBOR, expires 11/01/04 (183,742 )
77,000 Interest Rate Swap, 5.75% over 3-month LIBOR, expires 9/23/05 (1,271,270 )
12,800 Interest Rate Swap, 6.00% over 3-month LIBOR, expires 10/25/04 (264,192 )
95 U.S. Treasury Bond Futures, expires 5/22/04 (175,156 )
162 U.S. Treasury Bond Futures, expires 8/27/04 (663,187 )
Total Outstanding Options Written (premium received $ 4,413,022) (3,491,207 )
Total investments, net of investments sold short and outstanding options written—148.3% 659,284,971
Liabilities in excess of other assets—(48.3)% (214,765,666 )
Net Assets—100% $ 444,519,305

1 Using the higher of S&P’s, Moody’s or Fitch’s rating. 2 Entire or partial principal amount pledged as collateral for reverse repurchase agreements or financial futures contracts. 3 Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2004, the Trust held 3.0% of its net assets, with a current market value of $13,306,017, in securities restricted as to resale.

Details of open reverse repurchase agreements are disclosed in Note 4 in the Notes to Financial Statements.

See Notes to Financial Statements.

32

PORTFOLIO OF INVESTMENTS (unaudited) APRIL 30, 2004

BlackRock Limited Duration Income Trust (BLW)

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

See Notes to Financial Statements.

33

BlackRock Limited Duration Income Trust (BLW) (continued)

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

See Notes to Financial Statements.

34

BlackRock Limited Duration Income Trust (BLW) (continued)

Principal
Amount
Rating 1 (000) Description Value
Industrial Equipment—0.4%
B- $ 3,000 Williams Scotsman, Inc., 9.875%, 6/01/07 $ 2,985,000
Industrials—3.4%
B- 4,000 3 Fasten Tech Inc., 11.50%, 5/01/11 4,440,000
B 5,025 Hexcel Corp., 9.875%, 10/01/08 5,590,312
BB- 5,000 Mail-Well I Corp., 9.625%, 3/15/12 5,500,000
BBB- 7,500 Tyco Intl. Group SA, 6.125%, 11/01/08 (Luxembourg) 7,912,425
B 1,000 Von Hoffman Corp., 10.25%, 3/15/09 1,040,000
24,482,737
Leisure—0.5%
BB+ 3,500 Royal Caribbean Cruises Ltd., 8.00%, 5/15/10 (Liberia) 3,867,500
Media—5.9%
B1 2,500 Alliance Atlantis Communications, Inc., 13.00%, 12/15/09 (Canada) 2,787,500
BBB 6,685 2 Comcast Cable Communications, Inc., 6.875%, 6/15/09 7,359,416
BB- 6,000 2 CSC Holdings Inc., 7.875%, 12/15/07 6,405,000
B 2,000 Dex Media East LLC, Ser. B, 12.125%, 11/15/12 2,320,000
Echostar DBS Corp.,
BB- 4,500 3 4.36%, 7/01/04 4,680,000
BB- 2,000 3 5.75%, 10/01/08 2,005,000
B 5,000 Houghton Mifflin Company, 9.875%, 2/01/13 4,925,000
B- 3,250 Nextmedia Operating, Inc., 10.75%, 7/01/11 3,664,375
B+ 2,500 3 Paxson Communications Corp., 3.89%, 4/15/04 2,525,000
B- 4,650 Salem Communications Corp., 7.75%, 12/15/10 4,882,500
CCC+ 1,375 WRC Media, Inc., 12.75%, 11/15/09 1,375,000
42,928,791
Pharmaceuticals—0.2%
B- 1,750 3 Curative Hlth. Svcs. Inc., 10.75%, 5/01/11 1,756,563
Publishing—0.5%
B- 3,500 CBD Media Inc., 8.625%, 6/01/11 3,736,250
Real Estate—0.4%
Ba3 2,671 HMH Properties, Inc., Ser. B, 7.875%, 8/01/08 2,771,162
Steel—0.8%
BB 5,000 Ipsco, Inc., 8.75%, 6/01/13 5,625,000
Technology—0.5%
BB+ 3,500 Unisys Corp., 6.875%, 3/15/10 3,710,000
Telecommunication—3.7%
B- 6,000 ACC Escrow Corp., Ser. B, 10.00%, 8/01/11 5,790,000
BBB+ 5,000 2 Deutsche Telekom Intl. Finance BV, 8.50%, 6/15/10 (Netherlands) 5,907,500
BB 5,000 2 Nextel Communications, Inc., 7.375%, 8/01/15 5,225,000
B3 4,000 3 Qwest Communications Intl., Inc., 4.63%, 2/15/09 3,720,000
Ba3 6,000 2,3 Qwest Corp., 9.125%, 3/15/04 6,480,000
27,122,500
Transportation—1.3%
BB+ 1,650 Overseas Shipholding Group Inc., 8.75%, 12/01/13 1,860,375
B 3,720 Railamerica Transportation Corp., 12.875%, 8/15/10 4,315,200
B 3,015 Sea Containers Ltd., 10.50%, 5/15/12 (Bermuda) 2,984,850
9,160,425
Total Corporate Bonds 464,525,780
Mortgage Pass-Throughs—24.1%
Federal National Mortgage Assoc.,
9,597 2 4.347%, 12/01/33 9,659,944
6,956 2 4.44%, 1/01/34 7,076,116
121,700 5.00%, 12/01/99 122,384,562
16,993 2 5.50%, 12/01/27 - 11/01/33 16,969,146
17,000 2 7.25%, 1/15/10 19,570,400
Total Mortgage Pass-Throughs 175,660,168

See Notes to Financial Statements.

35

BlackRock Limited Duration Income Trust (BLW) (continued)

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

See Notes to Financial Statements.

36

BlackRock Limited Duration Income Trust (BLW) (continued)

Principal
Amount
Rating 1 (000) Description Value
Business Equipment & Services—0.8%
Alderwoods Group, Inc., Term Loan B,
$ 682 LIBOR + 3.86%, 6/28/04 $ 690,767
704 LIBOR + 3.87%, 5/27/04 712,978
727 LIBOR + 4.10%, 10/28/04 736,818
54 LIBOR + 5.75%, 6/30/04 54,710
2,244 Buhrmann U.S., Inc., Term Loan B1, LIBOR + 3.86%, 11/01/07 - 12/30/10 2,275,235
Worldspan, LP, Term Loan,
456 LIBOR + 4.875%, 5/07/04 456,570
276 LIBOR + 4.875%, 5/10/04 276,345
300 LIBOR + 4.875%, 5/13/04 300,375
5,503,798
Chemical—1.1%
Huntsman Intl. LLC,
Term Loan B,
679 LIBOR + 5.1875%, 5/24/04 - 6/08/04 688,828
571 LIBOR + 5.25%, 6/30/04 578,360
Term Loan C,
1,250 LIBOR + 5.4375%, 5/19/04 - 5/24/04 1,244,010
INEOS Group Holdings PLC, Term Loan C, (United Kingdom)
5 LIBOR + 4.6113%, 6/30/04 5,450
931 LIBOR + 4.6613%, 9/30/04 940,512
997 Kraton Polymers, Term Loan, LIBOR + 3.75%, 12/15/10 1,011,350
Nalco Chemical Co., Term Loan,
95 LIBOR + 3.60%, 5/28/04 95,338
2,794 LIBOR + 3.63%, 6/30/04 2,815,382
993 USI Holdings Corp., Term Loan B, LIBOR + 3.67%, 7/30/08 1,003,666
8,382,896
Clothing & Textiles—0.5%
4,000 Invista, Term Loan B, LIBOR + 4.10%, 4/30/11 4,028,332
Conglomerates—2.4%
Colfax Corp.,
3,775 Term Loan B, LIBOR + 4.875%, 6/30/09 3,815,109
1,250 Term Loan C, LIBOR + 7.375%, 6/30/10 1,262,500
Invesys Intl. Holdings Ltd.,
4,250 Term Loan, LIBOR + 5.86%, 11/30/09 4,281,875
2,000 Term Loan B1, LIBOR + 4.61%, 8/30/09 2,005,000
Precise Technology, Inc., Term Loan,
750 LIBOR + 4.125%, 3/31/11 756,563
1,000 LIBOR + 7.125%, 3/31/11 1,000,000
2,488 Quintiles Transnational Corp., Term Loan, LIBOR + 5.36%, 9/25/09 2,527,922
1,990 Trimas Corp., Term Loan B, LIBOR + 4.60%, 12/31/09 1,997,176
17,646,145
Consumer Products—4.3%
500 Buffets, Inc., Synth LC, LIBOR + 4.61%, 6/28/09 500,000
860 Dean Foods Co., Term Loan B, LIBOR + 3.11%, 8/15/08 871,215
Dole Food Co., Inc., Term Loan C,
970 LIBOR + 3.6875%, 5/28/04 - 7/02/04 983,576
546 LIBOR + 5.50%, 6/30/04 553,613
Dr. Pepper Bottling Company of Texas, Term Loan B,
57 LIBOR + 3.61%, 6/24/04 - 6/30/04 57,652
3,339 LIBOR + 3.65%, 9/22/04 - 9/30/04 3,395,004
1,489 DS Waters Enterprises LP, Term Loan, LIBOR + 3.9375%, 11/30/09 1,485,494
1,990 Jarden Corp., Term Loan B, LIBOR + 3.86%, 4/30/08 2,004,095
2,843 Jostens, Inc., Term Loan B, LIBOR + 3.72%, 7/08/10 2,865,363
Meow Mix Company, Term Loan,
270 LIBOR + 4.61%, 6/28/04 267,412
1,705 LIBOR + 4.73%, 6/28/04 1,685,369
Olympus Cable Holdings, LLC,
2,000 Term Loan A, LIBOR + 5.25%, 6/30/10 1,937,142
3,500 Term Loan B, PRIME + 6.00%, 9/30/10 3,410,001

See Notes to Financial Statements.

37

BlackRock Limited Duration Income Trust (BLW) (continued)

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

See Notes to Financial Statements.

38

BlackRock Limited Duration Income Trust (BLW) (continued)

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

See Notes to Financial Statements.

39

BlackRock Limited Duration Income Trust (BLW) (continued)

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

See Notes to Financial Statements.

40

BlackRock Limited Duration Income Trust (BLW) (continued)

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

See Notes to Financial Statements.

41

BlackRock Limited Duration Income Trust (BLW) (continued)

Principal
Amount
(000) Description Value
SHORT-TERM INVESTMENT—0.0%
U.S. Government and Agency Security—0.0%
$ 200 U.S. Treasury Bills, zero coupon, 5/13/04 (cost $ 199,943 ) $ 199,943
Total investments—149.8% (cost $ 1,068,262,980 ) 1,092,053,626
Liabilities in excess of other assets—(49.8)% (362,972,928 )
Net Assets—100% $ 729,080,698

1 Using the higher of S&P’s, Moody’s or Fitch’s rating. 2 Entire or partial principal amount pledged as collateral for reverse repurchase agreements or financial futures contracts. 3 Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2004, the Trust held 11.3% of its net assets, with a current market value of $82,203,512, in securities restricted as to resale.

Details of open reverse repurchase agreements are disclosed in Note 4 in the Notes to Financial Statements.

See Notes to Financial Statements.

42

PORTFOLIO OF INVESTMENTS (unaudited) APRIL 30, 2004

BlackRock Strategic Bond Trust (BHD)

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

See Notes to Financial Statements.

43

BlackRock Strategic Bond Trust (BHD) (continued)

Principal
Amount
Rating 1 (000) Description Value
Energy—(cont’d)
El Paso Corp.,
CCC+ $ 165 7.75%, 1/15/32 $ 129,937
CCC+ 85 7.80%, 8/01/31 66,938
BB- 670 El Paso Natural Gas Co., Ser. B, 8.50%, 6/01/11 748,725
B- 1,750 El Paso Production Holding Co., 7.75%, 6/01/13 1,662,500
BBB+ 105 Exelon Corp., 6.75%, 5/01/11 115,731
Baa3 325 2 FirstEnergy Corp., Ser. C, 7.375%, 11/15/31 341,338
B+ 2,000 Hanover Equipment Test, Ser. A, 8.50%, 9/01/08 2,110,000
B1 1,000 Midwest Generation LLC, 8.75%, 5/01/34 1,000,000
BBB+ 250 Occidental Petroleum Corp., 6.75%, 1/15/12 277,988
Baa2 1,000 2 Progress Energy, Inc., 6.75%, 3/01/06 1,068,210
B 2,000 Swift Energy Co., 10.25%, 8/01/09 2,120,000
BB- 2,000 Western Gas Resources, Inc., 10.00%, 6/15/09 2,115,000
21,508,907
Farming & Agriculture—0.3%
B2 300 3 Gold Kist, Inc., 10.25%, 3/15/14 315,000
Finance & Banking—16.8%
A+ 500 2 Allstate Corp., 7.875%, 5/01/05 529,250
Aa3 1,000 2 Bank One Corp., 6.50%, 2/01/06 1,070,000
Aa3 650 2,3 Barclays Bank PLC, 8.55%, 9/29/49 (United Kingdom) 785,757
A1 325 2 Bear Stearns Co., Inc., 6.50%, 5/01/06 348,774
B1 2,000 Bluewater Finance Ltd., 10.25%, 2/15/12 (United Kingdom) 2,090,000
Aa1 3,000 2 Citigroup, Inc., 5.75%, 5/10/06 3,182,130
BBB+ 500 3 Crum & Forster Holdings Corp., 10.375%, 6/15/13 552,500
Ford Motor Credit Co.,
A3 750 2 5.80%, 1/12/09 763,305
A3 2,000 2 6.875%, 2/01/06 2,119,820
General Motors Acceptance Corp.,
A3 250 2 6.75%, 1/15/06 264,817
A3 900 2 6.875%, 9/15/11 940,824
A3 300 2 8.00%, 11/01/31 314,310
AAA 850 2 KFW Intl. Finance, Inc., 5.25%, 6/28/06 897,303
Ba2 410 Labranche & Co., Inc., 12.00%, 3/02/07 481,750
Lehman Brothers Holdings, Inc.,
A1 1,000 2 6.25%, 5/15/06 1,069,430
BB- 1,000 2 10.375%, 6/01/09 1,045,000
A 325 2 MetLife, Inc., 6.125%, 12/01/11 349,937
B2 885 WMC Finance Co., 11.75%, 12/15/08 1,088,550
17,893,457
Forest Products—2.9%
B 2,000 Caraustar Industries, Inc., 9.875%, 4/01/11 2,040,000
BBB 1,000 Weyerhaeuser Co., 6.125%, 3/15/07 1,069,310
3,109,310
Health Care—7.4%
NR 2,000 HealthSouth Corp., 6.875%, 6/15/05 2,000,000
B- 2,000 Insight Health Services Corp., Ser. B, 9.875%, 11/01/11 2,020,000
B+ 2,000 Matria Healthcare, Inc., Ser. B, 11.00%, 5/01/08 2,220,000
B 1,500 United Surgical Partners Intl., Inc., 10.00%, 12/15/11 1,702,500
7,942,500
Hotels & Casinos—3.1%
Ba2 2,000 Park Place Entertainment Corp., 7.875%, 3/15/10 2,187,500
B 1,000 Resorts Intl. Hotel & Casino, Inc., 11.50%, 3/15/09 1,110,000
3,297,500
Industrial Equipment—2.1%
BB- 2,000 Mail-Well I Corp., 9.625%, 3/15/12 2,200,000
Leisure—1.6%
BB+ 1,500 Royal Caribbean Cruises Ltd., 8.75%, 2/02/11 (Liberia) 1,717,500

See Notes to Financial Statements.

44

BlackRock Strategic Bond Trust (BHD) (continued)

Principal
Amount
Rating 1 (000) Description Value
Media—12.9%
NR $ 1,000 2,4 Adelphia Communications Corp., Ser. B, 10.50%, 7/15/04 $ 1,100,000
B1 1,500 Alliance Atlantis Communications, Inc., 13.00%, 12/15/09 (Canada) 1,672,500
BBB+ 1,000 2 AOL Time Warner, Inc., 7.70%, 5/01/32 1,101,970
Ca 2,000 Charter Communications Holdings LLC, 11.125%, 1/15/11 1,775,000
BBB 1,000 Comcast Cable Communications, Inc., 6.875%, 6/15/09 1,100,885
BB- 2,000 EchoStar DBS Corp., 10.375%, 10/01/07 2,160,000
B- 2,000 Nextmedia Operating, Inc., 10.75%, 7/01/11 2,255,000
A- 1,000 2 Viacom, Inc., 6.625%, 5/15/11 1,105,930
CCC+ 1,500 WRC Media, Inc., 12.75%, 11/15/09 1,500,000
13,771,285
Pharmaceuticals—0.5%
B- 500 2 Curative Hlth. Svcs. Inc., 10.75%, 5/01/11 501,875
Real Estate—2.5%
BBB+ 500 2 ERP Operating LP, 6.95%, 3/02/11 557,300
Felcore Lodging LP,
B1 1,000 9.00%, 6/01/04 1,067,500
B1 1,000 10.00%, 3/15/04 1,067,500
2,692,300
Technology—2.0%
BB+ 2,000 Unisys Corp., 8.125%, 6/01/06 2,155,000
Telecommunication—8.9%
B- 1,750 ACC Escrow Corp., Ser. B, 10.00%, 8/01/11 1,688,750
BBB 900 2 AT&T Corp., 7.25%, 5/15/04 986,589
B3 1,000 Crown Castle Intl. Corp., 10.75%, 8/01/11 1,132,500
Ba3 2,000 PanAmSat Corp., 8.50%, 2/01/12 2,260,000
Aa3 2,000 2 Verizon New England, Inc., 6.50%, 9/15/11 2,173,840
A 1,000 2 Vodafone Group PLC, 7.75%, 2/15/10 (United Kingdom) 1,159,260
Worldcom, Inc.,
NR 35 5,6 5.908%, 5/01/07 34,562
NR 35 5,6 6.688%, 5/01/09 33,163
NR 30 5,6 7.735%, 5/01/14 27,825
9,496,489
Transportation—3.1%
BBB+ 500 Canadian National Railway Co., 6.90%, 7/15/28 (Canada) 544,535
B 2,000 Railamerica Transportation Corp., 12.875%, 8/15/10 2,320,000
B 440 Sea Containers Ltd., 10.50%, 5/15/12 (Bermuda) 435,600
3,300,135
Total Corporate Bonds 132,081,534
U.S. Government Securities—1.3%
410 U.S. Treasury Bonds, 5.375%, 2/15/31 415,252
1,000 2 U.S. Treasury Notes, 4.25%, 8/15/13 983,590
Total U.S. Government Securities 1,398,842
Foreign Government Bonds—1.0%
Baa2 1,000 United Mexican States, 8.125%, 12/30/19 1,075,000
Supranational—0.8%
AAA 850 2 European Investment Bank, 4.875%, 9/06/06 892,194

See Notes to Financial Statements.

45

BlackRock Strategic Bond Trust (BHD) (continued)

Shares — (000) Description Value
Common Stock—0.1%
5 MCI, Inc $ 66,519
Total Investments—126.9% (cost $ 128,137,033 ) 135,514,089
Liabilities in excess of other assets—(26.9)% (28,689,256 )
Net Assets—100% $ 106,824,833

1 Using the higher of S&P’s, Moody’s or Fitch’s rating. 2 Entire or partial principal amount pledged as collateral for reverse repurchase agreements or financial futures contracts. 3 Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2004, the Trust held 0.5% of its net assets, with a current market value of $3,805,757, in securities restricted as to resale. 4 Issuer is technically in default and/or bankruptcy. 5 Security is fair valued. 6 Illiquid securities representing 0.09% of net assets.

Details of open reverse repurchase agreements are disclosed in Note 4 in the Notes to Financial Statements.

See Notes to Financial Statements.

46

STATEMENTS OF ASSETS AND LIABILITIES (unaudited)
April 30, 2004
Broad Investment Income Limited
Grade 2009 Core High Opportunity Income Duration Strategic
Term Trust Inc. 1 Bond Trust Yield Trust Trust Trust Inc. Income Trust Bond Trust
(BCT) (BHK) (BHY) (BNA) (BKT) (BLW) (BHD)
Assets
Investments at value 2 $ 68,872,363 $ 647,259,333 $ 67,498,617 $ 549,207,086 $ 758,971,906 $ 1,092,053,626 $ 135,514,089
Cash 137,436 21,603 91,532 93,955 148,625 314,402 110,454
Foreign currency at value (cost $ 170,676 ) — 171,159 — — — — —
Receivable from investments sold — 22,621,707 — 90,597 6,135,118 3,154,424 —
Variation margin receivable 20,875 — — — — — —
Receivable for open forward foreign currency contracts — 30,976,290 — — — — —
Interest receivable 736,766 8,389,997 1,546,631 7,519,308 6,442,734 15,342,837 3,239,274
Unrealized appreciation on interest rate swaps — 354,781 — 140,154 1,192,796 — —
Other assets 13,047 39,304 58,506 99,168 118,578 22,367 7,822
69,780,487 709,834,174 69,195,286 557,150,268 773,009,757 1,110,887,656 138,871,639
Liabilities
Reverse repurchase agreement 22,997,000 118,008,513 — 110,651,925 129,732,913 239,748,400 31,389,625
Payable for investments purchased — 164,067,037 — 2,384 95,950,485 141,277,465 428,424
Variation margin payable — 14,459 — 687 291,594 — —
Loan payable — — 19,250,000 — — — —
Investments sold short at value 3 — — — 32,141,472 96,195,728 — —
Outstanding options written at value 4 — 1,153,484 — 2,064,683 3,491,207 — —
Interest payable 4,142 233,651 25,368 851,438 1,728,438 79,834 11,184
Interest rate floors at value 4 — — — — 449,871 — —
Payable for open forward foreign currency contracts — 30,922,699 — — — — —
Investment advisory fee payable 21,379 232,413 41,224 204,785 238,489 493,004 62,926
Administration fee payable 5,831 — 1,835 67,620 98,729 — —
Deferred Directors’ or Trustees’ fees 12,669 36,379 19,298 96,397 116,101 14,412 6,968
Other accrued expenses 179,399 64,872 135,521 187,132 196,897 193,843 147,679
23,220,420 314,733,507 19,473,246 146,268,523 328,490,452 381,806,958 32,046,806
Net Assets $ 46,560,067 $ 395,100,667 $ 49,722,040 $ 410,881,745 $ 444,519,305 $ 729,080,698 $ 106,824,833
Composition of Net Assets Applicable to Common Shareholders:
Par value $ 29,571 $ 27,019 $ 6,396 $ 344,497 $ 635,695 $ 36,727 $ 7,044
Paid-in capital in excess of par 39,184,069 386,195,639 93,702,989 406,532,068 555,097,290 700,009,638 100,384,626
Cost of shares held in treasury 5 — — — (17,377,850 ) — — —
Undistributed (distributions in excess of) net investment income 8,389,669 2,376,420 (200 ) 4,605,705 6,324,512 1,517,925 1,088,461
Accumulated net realized gain (loss) (1,670,280 ) 1,201,638 (36,529,753 ) 2,902,569 (105,579,216 ) 3,725,762 (2,032,354 )
Net unrealized appreciation (depreciation) 627,038 5,299,951 (7,457,392 ) 13,874,756 (11,958,976 ) 23,790,646 7,377,056
Net assets applicable to common shareholders, April 30, 2004 $ 46,560,067 $ 395,100,667 $ 49,722,040 $ 410,881,745 $ 444,519,305 $ 729,080,698 $ 106,824,833
Net asset value per common share 6 $ 15.75 $ 14.62 $ 7.77 $ 11.93 $ 6.99 $ 19.85 $ 15.16
1 Consolidated Statement of Assets and Liabilities
2 Investments at cost $ 68,043,676 $ 643,012,936 $ 74,956,009 $ 534,449,954 $ 775,567,245 $ 1,068,262,980 $ 128,137,033
3 Proceeds received — — — 32,271,393 96,272,921 — —
4 Premium received — 1,904,227 — 2,658,335 4,413,022 — —
5 Shares held in treasury — — — 1,757,400 — — —
6 Common shares outstanding 2,957,093 27,018,774 6,395,321 34,449,693 63,569,490 36,727,287 7,044,552

See Notes to Financial Statements.

47 48

STATEMENTS OF OPERATIONS (unaudited)
For the six months ended April 30, 2004
Broad Investment Income Limited
Grade 2009 Core High Opportunity Income Duration Strategic
Term Trust Inc. 1 Bond Trust Yield Trust Trust Trust Inc. Income Trust Bond Trust
(BCT) (BHK) (BHY) (BNA) (BKT) (BLW) (BHD)
Investment Income
Interest Income $ 1,939,303 $ 16,478,391 $ 3,867,393 $ 15,526,358 $ 18,365,235 $ 30,415,948 $ 5,963,320
Expenses
Investment advisory 130,474 1,538,749 347,945 1,243,812 1,459,591 2,887,080 542,992
Administration 35,583 — 33,138 207,302 336,829 — —
Transfer agent 5,411 7,462 8,008 17,416 41,860 8,918 7,462
Custodian 30,212 77,806 17,911 82,518 88,031 126,968 29,061
Reports to shareholders 10,590 46,200 15,176 45,245 67,808 62,145 13,126
Trustees 6,579 28,938 6,079 29,724 38,948 39,858 6,916
Registration 801 15,707 11,218 15,707 22,204 21,658 11,218
Independent accountants 17,555 22,725 17,681 45,680 41,646 23,471 18,534
Legal 16,662 24,437 7,051 25,083 32,487 38,334 7,450
Insurance 2,323 18,452 1,326 18,198 17,895 40,705 5,387
Miscellaneous 5,179 22,792 4,934 26,523 37,304 20,237 7,881
Total expenses excluding interest expense and excise tax 261,369 1,803,268 470,467 1,757,208 2,184,603 3,269,374 650,027
Interest expense 115,678 646,318 155,885 489,396 538,455 996,950 244,199
Excise tax 191,369 — — — — — —
Total expenses 568,416 2,449,586 626,352 2,246,604 2,723,058 4,266,324 894,226
Less fees waived by Advisor — — — — — — (144,798 )
Less fees paid indirectly — (1,304 ) (985 ) (9,718 ) (2,673 ) (35,925 ) (5,219 )
Net expenses 568,416 2,448,282 625,367 2,236,886 2,720,385 4,230,399 744,209
Net investment income 1,370,887 14,030,109 3,242,026 13,289,472 15,644,850 26,185,549 5,219,111
Realized and Unrealized Gain (Loss)
Investments (890,020 ) 5,856,668 (1,415,255 ) (1,744,744 ) (4,926,077 ) 3,335,297 (538,594 )
Foreign currency — 134,776 — — — — —
Futures 721,171 (489,761 ) — 3,790,582 (59,561 ) — —
Interest rate swaps — (1,901,650 ) — 2,785,143 (2,038,229 ) — —
Options written — 210,646 — 870,289 247,277 — —
Short sales — 1,171,507 — — (417,329 ) — —
(168,849 ) 4,982,186 (1,415,255 ) 5,701,270 (7,193,919 ) 3,335,297 (538,594 )
Net change in unrealized depreciation on:
Investments (967,094 ) (7,663,083 ) 6,544,745 (1,105,481 ) (8,573,099 ) 1,915,258 1,804,231
Foreign currency 35,628 — — — — —
Futures 274,543 (418,797 ) — (2,566,423 ) 2,028,535 — —
Interest rate floors — — — — 199,199 — —
Interest rate swaps — 245,815 — (2,513,941 ) 261,299 — —
Options written — 84,051 — 743,704 1,120,713 — —
Short sales — 1,049,416 — 821,251 1,853,618 — —
(692,551 ) (6,666,970 ) 6,544,745 (4,620,890 ) (3,109,735 ) 1,915,258 1,804,231
Net gain (loss) (861,400 ) (1,684,784 ) 5,129,490 1,080,380 (10,303,654 ) 5,250,555 1,265,637
Net Increase in Net Assets Resulting from Operations $ 509,487 $ 12,345,325 $ 8,371,516 $ 14,369,852 $ 5,341,196 $ 31,436,104 $ 6,484,748

1 Consolidated Statement of Operations.

See Notes to Financial Statements.

49 50

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

1 Consolidated Statement of Cash Flows.

See Notes to Financial Statements.

51 52

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

1 Consolidated Statement of Changes in Net Assets.

See Notes to Financial Statements.

53 54

STATEMENTS OF CHANGES IN NET ASSETS (continued)
For the six months ended April 30, 2004 (unaudited) and for the year ended October 31, 2003
Limited Duration Income Trust 1 Strategic Bond Trust
(BLW) (BHD)
2004 2003 2004 2003
Increase (Decrease) in Net Assets
Operations:
Net investment income $ 26,185,549 $ 12,026,055 $ 5,219,111 $ 11,147,173
Net realized gain (loss) 3,335,297 390,465 (538,594 ) (1,177,052 )
Net change in unrealized appreciation/depreciation 1,915,258 21,875,388 1,804,231 17,670,059
Net increase in net assets resulting from operations 31,436,104 34,291,908 6,484,748 27,640,180
Dividends from Net Investment Income: (27,532,174 ) (9,176,505 ) (5,841,877 ) (10,466,535 )
Capital Share Transactions:
Net proceeds from the issuance of common shares — 653,888,001 — —
Net proceeds from the underwriters’
over-allotment option exercised — 45,744,000 — —
Reinvestment of dividends 429,364 — 136,991 277,020
Net proceeds from capital share transactions 429,364 699,632,001 136,991 277,020
Total increase 4,333,294 724,747,404 779,862 17,450,665
Net Assets:
Beginning of period 724,747,404 — 106,044,971 88,594,306
End of period $ 729,080,698 $ 724,747,404 $ 106,824,833 $ 106,044,971
End of period undistributed net investment income $ 1,517,925 $ 2,864,550 $ 1,088,461 $ 1,711,227

1 Commencement of investment operations for Limited Duration was July 30, 2003. This information includes the initial investment by BlackRock Funding, Inc. The other Trust’s statement is for a full year.

See Notes to Financial Statements.

55

FINANCIAL HIGHLIGHTS

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)

Six Months
Ended Year Ended October 31,
April 30, 2004
(unaudited) 2003 2002 2001 2000 1999
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of period $ 16.02 $ 17.33 $ 16.05 $ 13.64 $ 13.64 $ 15.01
Investment operations:
Net investment income 0.46 1.28 2.01 1.17 0.91 0.93
Net realized and unrealized gain (loss) (0.28 ) (1.40 ) 0.04 2.01 (0.09 ) (1.45 )
Net increase (decrease) from
investment operations 0.18 (0.12 ) 2.05 3.18 0.82 (0.52 )
Dividends from net investment income (0.45 ) (1.19 ) (0.77 ) (0.77 ) (0.82 ) (0.85 )
Net asset value, end of period $ 15.75 $ 16.02 $ 17.33 $ 16.05 $ 13.64 $ 13.64
Market price, end of period $ 15.65 $ 15.85 $ 16.18 $ 14.39 $ 11.94 $ 11.44
TOTAL INVESTMENT RETURN 1 1.53 % 5.32 % 18.34 % 27.66 % 12.11 % (7.68 )%
RATIOS TO AVERAGE NET ASSETS:
Total expenses 2.40 % 2 2.43 % 2.50 % 3.52 % 4.36 % 3.49 %
Net expenses 2.40 % 2 2.43 % 2.50 % 3.52 % 4.36 % 3.49 %
Net expenses excluding interest expense and
excise tax 1.10 % 2 1.18 % 1.16 % 1.16 % 1.31 % 1.03 %
Net investment income 5.78 % 2 7.54 % 12.22 % 7.93 % 6.83 % 6.58 %
SUPPLEMENTAL DATA:
Average net assets (000) $ 47,706 $ 49,882 $ 48,731 $ 43,701 $ 39,425 $ 41,909
Portfolio turnover 14 % 39 % 35 % 19 % 36 % 25 %
Net assets, end of period (000) $ 46,560 $ 47,381 $ 51,244 $ 47,466 $ 40,321 $ 40,345
Reverse repurchase agreements outstanding,
end of period (000) $ 22,997 $ 19,953 $ 23,669 $ 13,373 $ 18,850 $ 16,304
Asset coverage, end of period 3 $ 3,025 $ 3,375 $ 3,165 $ 4,550 $ 3,139 $ 3,475

1 Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current market price on the last day of each year reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results. 2 Annualized. 3 Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

See Notes to Financial Statements.

56

FINANCIAL HIGHLIGHTS

BlackRock Core Bond Trust (BHK)

For the period
Six Months Ended November 30, 2001 1
April 30, 2004 Year Ended through
(unaudited) October 31, 2003 October 31, 2002
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 14.75 $ 14.33 $ 14.33 2
Investment operations:
Net investment income 0.52 0.83 0.99
Net realized and unrealized gain (loss) (0.07 ) 0.77 0.04
Net increase from investment operations 0.45 1.60 1.03
Dividends and distributions:
Net investment income (0.40 ) (1.00 ) (1.00 )
Net realized gain (0.18 ) (0.18 ) —
Total dividends and distributions (0.58 ) (1.18 ) (1.00 )
Capital charges with respect to issuance of shares — — (0.03 )
Net asset value, end of period $ 14.62 $ 14.75 $ 14.33
Market price, end of period $ 13.09 $ 13.57 $ 13.82
TOTAL INVESTMENT RETURN 3 0.56 % 6.62 % (1.02 )%
RATIOS TO AVERAGE NET ASSETS:
Total expenses 1.22 % 4 1.05 % 1.04 % 4
Net expenses 1.22 % 4 1.05 % 1.04 % 4
Net expenses excluding interest expense 0.90 % 4 0.87 % 0.93 % 4
Net investment income 6.97 % 4 5.58 % 7.67 % 4
SUPPLEMENTAL DATA:
Average net assets (000) $ 404,739 $ 401,049 $ 380,277
Portfolio turnover 165 % 161 % 73 %
Net assets, end of period (000) $ 395,101 $ 398,540 $ 387,238
Reverse repurchase agreements outstanding, end of period (000) $ 118,009 $ 91,668 $ 165,215
Asset coverage, end of period 5 $ 4,348 $ 5,348 $ 3,342

1 Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc. 2 Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from the initial offering price of $15.00 per share. 3 Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current market price on the last day of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results. 4 Annualized. 5 Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

See Notes to Financial Statements.

57

FINANCIAL HIGHLIGHTS

BlackRock High Yield Trust (BHY)

For the period
December 23,
Six Months 1998 1
Ended Year Ended October 31, through
April 30, 2004 October 31,
(unaudited) 2003 2002 2001 2000 1999
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of period $ 6.96 $ 6.13 $ 7.20 $ 10.60 $ 13.58 $ 15.00
Investment operations:
Net investment income 0.50 1.06 1.20 1.32 1.66 1.29
Net realized and unrealized gain (loss) 0.81 0.89 (0.98 ) (3.13 ) (3.02 ) (1.52 )
Net increase (decrease) from investment
operations 1.31 1.95 0.22 (1.81 ) (1.36 ) (0.23 )
Dividends and distributions:
Net investment income (0.50 ) (1.07 ) (1.20 ) (1.48 ) (1.62 ) (1.17 )
Tax return of capital — (0.05 ) (0.09 ) (0.11 ) — —
Total dividends and distributions (0.50 ) (1.12 ) (1.29 ) (1.59 ) (1.62 ) (1.17 )
Capital charges with respect to issuance
of shares — — — — — (0.02 )
Net asset value, end of period $ 7.77 $ 6.96 $ 6.13 $ 7.20 $ 10.60 $ 13.58
Market price, end of period $ 9.56 $ 10.25 $ 8.68 $ 9.18 $ 11.88 $ 12.50
TOTAL INVESTMENT RETURN 2 (1.96 )% 32.87 % 7.97 % (11.31 )% 8.23 % (9.68 )%
RATIOS TO AVERAGE NET ASSETS:
Total expenses 2.66 % 3 3.07 % 3.45 % 4.90 % 5.29 % 4.16 % 3
Net expenses 2.65 % 3 3.07 % 3.45 % 4.90 % 5.29 % 4.08 % 3
Net expenses excluding interest expense 1.99 % 3 2.22 % 2.20 % 2.03 % 1.99 % 1.98 % 3
Net investment income 13.76 % 3 16.37 % 16.29 % 14.23 % 13.12 % 10.34 % 3
SUPPLEMENTAL DATA:
Average net assets (000) $ 47,389 $ 41,326 $ 46,751 $ 58,553 $ 79,602 $ 92,116
Portfolio turnover 29 % 30 % 147 % 71 % 92 % 121 %
Net assets, end of period (000) $ 49,722 $ 44,438 $ 38,953 $ 45,520 $ 66,867 $ 85,652
Loan outstanding, end of period (000) $ 19,250 $ 19,250 $ 19,250 $ 23,000 $ 33,000 $ 41,000
Asset coverage, end of period 4 $ 3,583 $ 3,308 $ 3,024 $ 2,983 $ 3,032 $ 3,094

1 Commencement of investment operations. This information includes the initial investment by BlackRock Financial Management, Inc. 2 Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current market price on the last day of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation, to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment return does not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results. 3 Annualized. 4 Per $1,000 of loan outstanding.

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

See Notes to Financial Statements.

58

FINANCIAL HIGHLIGHTS

BlackRock Income Opportunity Trust (BNA)

Six Months
Ended Year Ended October 31,
April 30, 2004
(unaudited) 2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 11.93 $ 11.83 $ 11.47 $ 11.03 $ 11.45 $ 11.88
Investment operations:
Net investment income 0.39 0.84 1.15 0.87 0.70 0.84
Net realized and unrealized gain (loss) 0.03 0.31 (0.05 ) 0.34 (0.31 ) (0.46 )
Net increase from investment operations 0.42 1.15 1.10 1.21 0.39 0.38
Dividends and distributions:
Net investment income (0.42 ) (0.81 ) (0.75 ) (0.23 ) (0.39 ) (0.84 )
Net realized gains — (0.24 ) — — (0.04 ) —
Tax return of capital — — — (0.54 ) (0.41 ) —
Total dividends and distributions (0.42 ) (1.05 ) (0.75 ) (0.77 ) (0.84 ) (0.84 )
Increase resulting from Trust shares
repurchased — — 0.01 — 0.03 0.03
Net asset value, end of period $ 11.93 $ 11.93 $ 11.83 $ 11.47 $ 11.03 $ 11.45
Market price, end of period $ 10.61 $ 10.95 $ 10.50 $ 10.41 $ 9.75 $ 9.69
TOTAL INVESTMENT RETURN 1 0.58 % 14.71 % 8.44 % 15.09 % 9.82 % 6.70 %
RATIOS TO AVERAGE NET ASSETS:
Total expenses 1.08 % 2 1.29 % 1.40 % 3.62 % 3.76 % 3.18 %
Net expenses 1.08 % 2 1.29 % 1.40 % 3.62 % 3.76 % 3.18 %
Net expenses excluding interest expense 0.84 % 2 0.89 % 0.93 % 1.01 % 0.88 % 0.85 %
Net investment income 6.41 % 2 6.99 % 10.04 % 7.76 % 6.14 % 7.14 %
SUPPLEMENTAL DATA:
Average net assets (000) $ 416,882 $ 413,543 $ 394,495 $ 388,478 $ 396,157 $ 426,283
Portfolio turnover 16 % 46 % 153 % 83 % 82 % 186 %
Net assets, end of period (000) $ 410,882 $ 410,981 $ 407,480 $ 397,756 $ 383,651 $ 406,178
Reverse repurchase agreements outstanding,
end of period (000) $ 110,652 $ 103,378 $ 85,704 $ 136,385 $ 178,033 $ 149,346
Asset coverage, end of period 3 $ 4,713 $ 4,976 $ 5,755 $ 3,916 $ 3,155 $ 3,720

1 Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current market price on the last day of each year reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment return does not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results. 2 Annualized. 3 Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

See Notes to Financial Statements.

59

FINANCIAL HIGHLIGHTS

BlackRock Income Trust Inc. (BKT)

Six Months
Ended Year Ended October 31,
April 30, 2004
(unaudited) 2003 2002 2001 2000 1999
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of period $ 7.21 $ 8.13 $ 8.06 $ 7.23 $ 7.31 $ 7.94
Investment operations:
Net investment income 0.25 0.61 0.99 0.56 0.50 0.73
Net realized and unrealized gain (loss) (0.16 ) (0.52 ) (0.35 ) 0.83 (0.02 ) (0.80 )
Net increase (decrease) from investment
operations 0.09 0.09 0.64 1.39 0.48 (0.07 )
Dividends from net investment income (0.31 ) (1.01 ) (0.57 ) (0.56 ) (0.56 ) (0.56 )
Net asset value, end of period $ 6.99 $ 7.21 $ 8.13 $ 8.06 $ 7.23 $ 7.31
Market price, end of period $ 6.98 $ 7.71 $ 8.07 $ 7.26 $ 6.38 $ 6.13
TOTAL INVESTMENT RETURN 1 (5.58 )% 15.41 % 15.35 % 23.23 % 14.01 % (4.04 )%
RATIOS TO AVERAGE NET ASSETS:
Total expense 1.21 % 2 1.36 % 2.05 % 2.54 % 2.78 % 3.03 %
Net expenses 1.21 % 2 1.36 % 2.05 % 2.54 % 2.78 % 3.03 %
Net expenses excluding interest expense 0.97 % 2 1.02 % 1.03 % 1.03 % 1.05 % 1.01 %
Net investment income 6.97 % 2 8.18 % 12.28 % 7.43 % 7.11 % 9.54 %
SUPPLEMENTAL DATA:
Average net assets (000) $ 451,572 $ 472,676 $ 506,533 $ 470,185 $ 448,027 $ 482,685
Portfolio turnover 99 % 64 % 125 % 32 % 114 % 144 %
Net assets, end of period (000) $ 444,519 $ 457,301 $ 511,385 $ 506,764 $ 454,510 $ 459,399
Reverse repurchase agreements outstanding,
end of period (000) $ 129,733 $ 121,767 $ 205,792 $ 118,634 $ 64,460 $ 186,451
Asset coverage, end of period 3 $ 4,426 $ 4,756 $ 3,485 $ 5,272 $ 8,095 $ 3,478

1 Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current market price on the last day of each year reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results. 2 Annualized. 3 Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

See Notes to Financial Statements.

60

FINANCIAL HIGHLIGHTS

BlackRock Limited Duration Income Trust (BLW)

Six Months — Ended For the period — July 30, 2003 1
April 30, 2004 through
(unaudited) October 31, 2003
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 19.74 $ 19.10 2
Investment operations:
Net investment income 0.71 0.33
Net realized and unrealized gain 0.15 0.60
Net increase from investment operations 0.86 0.93
Dividends from net investment income (0.75 ) (0.25 )
Capital charges with respect to issuance of shares — (0.04 )
Net asset value, end of period $ 19.85 $ 19.74
Market price, end of period $ 18.82 $ 18.80
TOTAL INVESTMENT RETURN 3 4.05 % (4.77 )%
RATIOS TO AVERAGE NET ASSETS:
Total expenses 1.17 % 4 0.82 % 4
Net expenses 1.16 % 4 0.82 % 4
Net expenses excluding interest expense 0.88 % 4 0.79 % 4
Net investment income 7.16 % 4 6.87 % 4
SUPPLEMENTAL DATA:
Average net assets (000) $ 735,079 $ 686,655
Portfolio turnover 40 % 127 %
Net assets, end of period (000) $ 729,081 $ 724,747
Reverse repurchase agreements outstanding, end of period (000) $ 239,748 $ 118,993
Asset coverage, end of period 5 $ 4,041 $ 7,091

1 Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc. 2 Net asset value, beginning of period, reflects a deduction of $0.90 per share sales charge from the initial offering price of $20.00 per share. 3 Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current market price on the last day of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results. 4 Annualized. 5 Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

61

FINANCIAL HIGHLIGHTS

BlackRock Strategic Bond Trust (BHD)

Six Months
Ended February 28, 2002 1
April 30, 2004 Year Ended through
(unaudited) October 31, 2003 October 31, 2002
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 15.07 $ 12.63 $ 14.33 2
Investment operations:
Net investment income 0.74 1.59 0.98
Net realized and unrealized gain (loss) 0.18 2.34 (1.77 )
Net increase (decrease) from investment operations 0.92 3.93 (0.79 )
Dividends from net investment income (0.83 ) (1.49 ) (0.84 )
Capital charges with respect to issuance of shares — — (0.07 )
Net asset value, end of period $ 15.16 $ 15.07 $ 12.63
Market price, end of period $ 14.70 $ 15.27 $ 12.35
TOTAL INVESTMENT RETURN 3 1.62 % 37.36 % (12.34 )%
RATIOS TO AVERAGE NET ASSETS:
Total expenses 1.67 % 4 2.01 % 2.57 % 4
Net expenses 1.39 % 4 1.71 % 2.26 % 4
Net expenses excluding interest expense 0.94 % 4 1.01 % 1.25 % 4
Net investment income 9.77 % 4 11.32 % 10.68 % 4
SUPPLEMENTAL DATA:
Average net assets (000) $ 107,406 $ 98,498 $ 95,675
Portfolio turnover 8 % 32 % 22 %
Net assets, end of period (000) $ 106,825 $ 106,045 $ 88,594
Reverse repurchase agreements outstanding, end of period (000) $ 31,390 $ 45,872 $ 44,223
Asset coverage, end of period 5 $ 4,403 $ 3,312 $ 3,003

1 Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc. 2 Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from the initial offering price of $15.00 per share. 3 Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current market price on the last day of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results. 4 Annualized. 5 Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

See Notes to Financial Statements.

62

NOTES TO FINANCIAL STATEMENTS (unaudited)

Note 1. Organization & Accounting Policies

BlackRock Broad Investment Grade 2009 Term Trust Inc. (“Broad Investment Grade”), BlackRock Core Bond Trust (“Core Bond”), BlackRock High Yield Trust (“High Yield”), BlackRock Income Opportunity Trust (“Income Opportunity”), BlackRock Income Trust Inc. (“Income Trust”), BlackRock Limited Duration Income Trust (“Limited Duration”) and BlackRock Strategic Bond Trust (“Strategic Bond”) are registered as diversified, closed-end management investment companies under the Investment Company Act of 1940, as amended. Broad Investment Grade, Income Opportunity and Income Trust are Maryland corporations. Core Bond, High Yield, Limited Duration and Strategic Bond are organized as Delaware statutory trusts.

On December 3, 1999, Broad Investment Grade transferred a substantial portion of its total assets to a 100% owned regulated investment company subsidiary called BCT Subsidiary, Inc. The financial statements and these notes to the financial statements for Broad Investment Grade are consolidated and include the operations of both Broad Investment Grade and its wholly owned subsidiary after elimination of all intercompany transactions and balances.

The following is a summary of significant accounting policies followed by the Trusts.

Securities Valuation: The Trusts value most of their securities on the basis of current market quotations provided by dealers or pricing services selected under the supervision of each Trust’s Board (the “Board”) of Directors/Trustees (“Trustees”). In determining the value of a particular security, pricing services may use certain information with respect to transactions in such securities, quotations from dealers, market transactions in comparable securities, various relationships observed in the market between securities, and calculated yield measures based on valuation technology commonly employed in the market for such securities. Exchange-traded options are valued at their last sales price as of the close of options trading on applicable exchanges. In the absence of a last sale, options are valued at the average of the quoted bid and asked prices as of the close of business. A futures contract is valued at the last sale price as of the close of the commodities exchange on which it trades. Short-term securities may be valued at amortized cost. Securities or other assets for which such current market quotations are not readily available are valued at fair value as determined in good faith under procedures established by, and under the general supervision and responsibility of, each Trust’s Board.

Securities Transactions and Investment Income: Securities transactions are recorded on trade date. Realized and unrealized gains and losses are calculated on the identified cost basis. Each Trust also records interest income on an accrual basis and amortizes premium and/or accretes discount on securities purchased using the interest method.

Repurchase Agreements: In connection with transactions in repurchase agreements, a Trust’s custodian takes possession of the underlying collateral securities, the value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market on a daily basis to ensure the adequacy of the collateral. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by a Trust may be delayed or limited.

Bank Loans: In the process of buying, selling and holding bank loans, a Trust may receive and/or pay certain fees. These fees are in addition to interest payments received and may include facility fees, commitment fees, amendment fees, commissions and prepayment penalty fees. When a Trust buys a bank loan it may receive a facility fee and when it sells a bank loan it may pay a facility fee. On an ongoing basis, a Trust may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a bank loan. In certain circumstances, a Trust may receive a prepayment penalty fee upon the prepayment of a bank loan by a borrower. Other fees received by a Trust may include covenant waiver fees and covenant modification fees.

Option Writing/Purchasing: When a Trust writes or purchases an option, an amount equal to the premium received or paid by the Trust is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by the Trust on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the proceeds from the sale or cost of the purchase in determining whether a Trust has realized a gain or a loss on investment transactions. A Trust, as writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option.

Options, when used by the Trusts, help in maintaining a targeted duration. Duration is a measure of the price sensitivity of a security or a portfolio to relative changes in interest rates. For instance, a duration of “one” means that a portfolio’s or a security’s price would be expected to change by approximately one percent with a one percent change in interest rates, while a duration of five would imply that the price would move approximately five percent in relation to a one percent change in interest rates.

Option writing and purchasing may be used by the Trusts as an attempt to manage the duration of positions, or collections of positions, so that changes in interest rates do not adversely affect the targeted duration of the portfolio unexpectedly. A call option gives the purchaser of the option the right (but not obligation) to buy, and obligates the seller to sell (when the option is exercised), the underlying position at the exercise price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying position at the exercise price at any time or at a specified time during the option period. Put or call options can be purchased or sold to effectively help manage the targeted duration of the portfolio.

63

The main risk that is associated with purchasing options is that the option expires without being exercised. In this case, the option expires worthless and the premium paid for the option is considered the loss. The risk associated with writing call options is that a Trust may forgo the opportunity for a profit if the market value of the underlying position increases and the option is exercised. The risk in writing put options is that a Trust may incur a loss if the market value of the underlying position decreases and the option is exercised. In addition, as with futures contracts, the Trust risks not being able to enter into a closing transaction for the written option as the result of an illiquid market.

Interest Rate Swaps: In an interest rate swap, one investor pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, an investor may pay a fixed rate and receive a floating rate. Interest rate swaps are efficient as asset/liability management tools. In more complex swaps, the notional principal amount may decline (or amortize) over time.

During the term of the swap, changes in the value of the swap are recognized as unrealized gains or losses by “marking-to-market” to reflect the market value of the swap. When the swap is terminated, a Trust will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract, if any.

The Trusts are exposed to credit loss in the event of non-performance by the other party to the swap. However, the Trusts closely monitor swaps and do not anticipate non-performance by any counterparty.

Swap Options: Swap options are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap option is granting or buying the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the option. Premiums received or paid from writing or purchasing options are recorded as liabilities or assets and are subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by a Trust on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commission, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the proceeds from the sale or cost of the purchase in determining whether a Trust has realized a gain or loss on investment transactions.

The main risk that is associated with purchasing swap options is that the swap option expires without being exercised. In this case, the option expires worthless and the premium paid for the swap option is considered the loss. The main risk that is associated with the writing of a swap option is the market risk of an unfavorable change in the value of the interest rate swap underlying the written swap option.

Swap options may be used by the Trusts to manage the duration of the Trusts’ portfolios in a manner similar to more generic options described above.

Interest Rate Caps: Interest rate caps are similar to interest rate swaps, except that one party agrees to pay a fee, while the other party pays the excess, if any, of a floating rate over a specified fixed or floating rate.

Interest rate caps are intended to both manage the duration of the Trusts’ portfolios and their exposure to changes in short-term interest rates. Owning interest rate caps reduces a portfolio’s duration, making them less sensitive to changes in interest rates from a market value perspective. The effect on income involves protection from rising short-term interest rates, which the Trusts experience primarily in the form of leverage.

The Trusts are exposed to credit loss in the event of non-performance by the other party to the interest rate cap. However, the Trusts do not anticipate non-performance by any counterparty.

Transaction fees paid or received by the Trusts are recognized as assets or liabilities and amortized or accreted into interest expense or income over the life of the interest rate cap. The asset or liability is subsequently adjusted to the current market value of the interest rate cap purchased or sold. Changes in the value of the interest rate cap are recognized as unrealized gains and losses.

Interest Rate Floors: Interest rate floors are similar to interest rate swaps, except that one party agrees to pay a fee, while the other party pays the deficiency, if any, of a floating rate under a specified fixed or floating rate.

Interest rate floors are used by the Trusts to both manage the duration of the portfolios and their exposure to changes in short-term interest rates. Selling interest rate floors reduces a portfolio’s duration, making it less sensitive to changes in interest rates from a market value perspective. The Trusts’ leverage provides extra income in a period of falling rates. Selling floors reduces some of that advantage by partially monetizing it as an up front payment which the Trusts receive.

The Trusts are exposed to credit loss in the event of non-performance by the other party to the interest rate floor. However, the Trusts do not anticipate non-performance by any counterparty.

Transactions fees paid or received by the Trusts are recognized as assets or liabilities and amortized or accreted into interest expense or income over the life of the interest rate floor. The asset or liability is subsequently adjusted to the current market value of the interest rate floor purchased or sold. Changes in the value of the interest rate floor are recognized as unrealized gains and losses.

Financial Futures Contracts: A futures contract is an agreement between two parties to buy and sell a financial instrument for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by “marking-to-market” on a daily basis to reflect the market value of the contract at the end of each day’s trading. Variation margin payments are made or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, a Trust records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract.

64

Financial futures contracts, when used by the Trusts, help in maintaining a targeted duration. Futures contracts can be sold to effectively shorten an otherwise longer duration portfolio. In the same sense, futures contracts can be purchased to lengthen a portfolio that is shorter than its duration target. Thus, by buying or selling futures contracts, the Trusts may attempt to manage the duration of positions so that changes in interest rates do not change the duration of the portfolio unexpectedly.

Forward Currency Contracts: The Trusts enter into forward currency contracts primarily to facilitate settlement of purchases and sales of foreign securities and to help manage the overall exposure to foreign currency. A forward contract is a commitment to purchase or sell a foreign currency at a future date (usually the security transaction settlement date) at a negotiated forward rate. In the event that a security fails to settle within the normal settlement period, the forward currency contract is renegotiated at a new rate. The gain or loss arising from the difference between the settlement value of the original and renegotiated forward contracts is isolated and is included in net realized gains (losses) from foreign currency transactions. Risks may arise as a result of the potential inability of the counterparties to meet the terms of their contract.

Forward currency contracts, when used by the Trusts, help to manage the overall exposure to the foreign currency backing some of the investments held by the Trusts. Forward currency contracts are not meant to be used to eliminate all of the exposure to the foreign currency, rather they allow the Trusts to limit their exposure to foreign currency within a narrow band to the objectives of the Trusts.

Foreign Currency Translation: Foreign currency amounts are translated into United States dollars on the following basis:

(i) market value of investment securities, other assets and liabilities—at the London 4:00 PM rates of exchange.
(ii) purchases and sales of investment securities, income and expenses—at the rates of exchange prevailing on the respective dates of such transactions.

The Trusts isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held at period end. Similarly, the Trusts isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of portfolio securities sold during the period.

Net realized and unrealized foreign exchange gains and losses including realized foreign exchange gains and losses from sales and maturities of foreign portfolio securities, maturities of foreign reverse repurchase agreements, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of interest and discount recorded on the Trusts’ books and the U.S. dollar equivalent amounts actually received or paid and changes in unrealized foreign exchange gains and losses in the value of portfolio securities and other assets and liabilities arising as a result of changes in the exchange rate.

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin, including unanticipated movements in the value of the foreign currency relative to the U.S. dollar.

Short Sales: The Trusts may make short sales of securities as a method of managing potential price declines in similar securities owned. When a Trust makes a short sale, it may borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the sale. The Trusts may have to pay a fee to borrow the particular securities and may be obligated to pay over any payments received on such borrowed securities. A gain, limited to the price at which the Trust sold the security short, or a loss, unlimited as to dollar amount, will be recognized upon the termination of a short sale if the market price is greater or less than the proceeds originally received.

Security Lending: The Trusts may lend their portfolio securities to qualified institutions. The loans are secured by collateral at least equal, at all times, to the market value of the securities loaned. The Trusts may bear the risk of delay in recovery of, or even loss of rights in, the securities loaned should the borrower of the securities fail financially. The Trusts receive compensation for lending their securities in the form of interest on the loan. The Trusts also continue to receive interest on the securities loaned, and any gain or loss in the market price of the securities loaned that may occur during the term of the loan will be for the accounts of the Trusts. The Trusts did not enter into any security lending transactions during the period ended April 30, 2004.

Segregation: In cases in which the Investment Company Act of 1940, as amended, and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that each Trust segregate assets in connection with certain investments (e.g., when-issued securities, reverse repurchase agreements or futures contracts), each Trust will, consistent with certain interpretive letters issued by the SEC, designate on its books and records cash or other liquid debt securities having a market value at least equal to the amount that would otherwise be required to be physically segregated.

Federal Income Taxes: It is each Trust’s (excluding Limited Duration) intention to continue, and Limited Duration intends to elect, to be treated as a regulated investment company under the Internal Revenue Code and to distribute sufficient amounts of their taxable income to shareholders. Therefore, no Federal income tax provisions are required. As part of a tax planning strategy, Broad Investment Grade may retain a portion of its taxable income and pay an excise tax on the undistributed amounts.

Dividends and Distributions: Each Trust declares and pays dividends and distributions to common shareholders monthly from net investment income, net realized short-term capital gains and other sources, if necessary. Net long-term capital gains, if any, in excess of loss car-ryforwards may be distributed annually. Dividends and distributions are recorded on the ex-dividend date.

Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America.

Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates.

65

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the revised deferred compensation plan approved by each Trust’s Board, non-interested Trustees may elect to defer receipt of all or a portion of their annual compensation. As of January 1, 2003, the Board elected to require its non-interested members to defer a portion of their annual complex compensation pursuant to the plan. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of other BlackRock closed-end funds selected by the Trustees. This has the same economic effect for the Trustees as if the Trustees had invested the deferred amounts in such Trusts.

The deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of the Trust. Each Trust may, however, elect to invest in common shares of those Trusts selected by the Trustees in order to match its deferred compensation obligations.

Note 2. Agreements Each Trust has an Investment Management Agreement with BlackRock Advisors, Inc. (the “Advisor”), which is a wholly owned subsidiary of BlackRock, Inc. BlackRock Financial Management, Inc., a wholly owned subsidiary of BlackRock, Inc., serves as sub-advisor to Core Bond, Limited Duration and Strategic Bond. BlackRock, Inc. is an indirect, majority owned subsidiary of The PNC Financial Services Group, Inc.

Broad Investment Grade, High Yield, Income Opportunity and Income Trust each have an Administration Agreement with the Advisor. The investment management agreement for Core Bond, Limited Duration and Strategic Bond covers both investment advisory and administration services.

Each Trust’s investment advisory fee paid to the Advisor is computed weekly and payable monthly based on an annual rate, 0.55% for Broad Investment Grade, 0.60% for Income Opportunity and 0.65% for Income Trust, of each Trust’s average net assets and 0.55% for Core Bond and Limited Duration, 1.05% for High Yield and 0.75% for Strategic Bond, of each Trust’s average weekly managed assets. “Managed assets” means the total assets of a Trust (including any assets attributable to any preferred shares that may be outstanding) minus the sum of accrued liabilities (other than debt representing financial leverage). The Advisor has voluntarily agreed to waive a portion of the investment advisory fees or other expenses on Strategic Bond as a percentage of its average weekly managed assets as follows: 0.20% for the first 5 years of the Trust’s operations, 0.15% in year 6, 0.10% in year 7 and 0.05% in year 8.

Pursuant to the agreements, the Advisor provides continuous supervision of the investment portfolio and pays the compensation of officers of each Trust who are affiliated persons of the Advisor. The Advisor pays occupancy and certain clerical and accounting costs for each Trust. Each Trust bears all other costs and expenses, which include reimbursements to the Advisor for certain operational support services provided to each Trust.

Pursuant to the terms of their custody agreements, Core Bond, High Yield, Income Opportunity, Income Trust, Limited Duration and Strategic Bond received earnings credits from its custodian for positive cash balances maintained, which are used to offset custody fees.

Note 3. Portfolio Securities Purchases and sales of investment securities, other than short-term investments, dollar rolls and U.S. government securities, for the period ended April 30, 2004, aggregated as follows:

Trust Purchases Sales Trust Purchases Sales
Broad Investment Grade $ 1,871,440 $ 2,722,890 Income Trust $ 291,679,176 $ 184,805,384
Core Bond 384,498,863 431,366,943 Limited Duration 435,285,251 364,673,592
High Yield 17,417,267 23,714,875 Strategic Bond 11,186,521 22,963,058
Income Opportunity 52,173,101 62,175,300
Purchases and sales of U.S. government securities for the period ended April 30, 2004, aggregated as follows:
Trust Purchases Sales Trust Purchases Sales
Broad Investment Grade $ 6,215,742 $ 3,516,882 Income Trust $ 440,194,910 $ 370,761,583
Core Bond 758,355,523 622,329,392 Limited Duration 77,101,568 69,967,047
High Yield — — Strategic Bond 423,645 —
Income Opportunity 65,595,070 16,970,781

Each Trust may from time to time purchase in the secondary market certain mortgage pass-through securities packaged or master serviced by affiliates or mortgage related securities containing loans or mortgages originated by PNC Bank or its affiliates, including Midland Loan Services, Inc., each of which is an affiliate of BlackRock Advisors, Inc. It is possible under certain circumstances, that PNC Mortgage Securities Corp. or its affiliates, including Midland Loan Services, Inc., could have interests that are in conflict with the holders of these mortgage backed securities, and such holders could have rights against PNC Mortgage Securities Corp. or its affiliates, including Midland Loan Services, Inc.

At April 30, 2004, the total cost of securities for Federal income tax purposes and the aggregate gross unrealized appreciation and depreciation for securities held by each Trust were as follows:

Trust Cost Appreciation Depreciation Net
Broad Investment Grade $ 68,043,776 $ 3,154,801 $ 2,326,214 $ 828,587
Core Bond 649,011,177 7,278,016 9,029,860 (1,751,844 )
High Yield 74,957,036 5,089,080 12,547,499 (7,458,419 )
Income Opportunity 534,449,954 20,261,986 5,504,854 14,757,132
Income Trust 776,083,205 17,408,834 34,520,133 (17,111,299 )
Limited Duration 1,068,263,202 28,137,737 4,347,313 23,790,424
Strategic Bond 128,137,033 135,514,089 128,137,033 7,377,056

66

For Federal income tax purposes, the following Trusts had capital loss carryforwards as of their last respective tax year end. These amounts may be used to offset future realized capital gains, if any:

Trust Capital Loss — Carryforwards Amount Expires Trust Capital Loss — Carryforwards Amount Expires
Broad Investment Grade $ 85,817 2008 Income Opportunity $ 1,978,381 2011
131,829 2011
Income Trust $ 27,373,194 2004
$ 217,646
High Yield $ 3,443,603 2007 1,352,206 2008
3,270,311 2008 13,940,898 2009
15,159,280 2009 21,960,613 2011
8,468,860 2010
4,771,417 2011 $ 97,734,863
$ 35,113,471
Strategic Bond $ 316,708 2010
1,177,052 2011
$ 1,493,760

Accordingly, no capital gain distributions are expected to be paid to shareholders of a Trust until that Trust has net realized capital gains in excess of its carryforward amounts.

Details of open financial futures contracts at April 30, 2004 were as follows:

Number of Expiration Value at Value at Unrealized — Appreciation
Contracts Type Date Trade Date April 30, 2004 (Depreciation)
Long Position:
Broad Investment Grade 56 10 Yr. U.S. T-Note June ’04 $ 6,362,248 $ 6,188,000 $ (174,248 )
5 30 Yr. U.S. T-Bond June ’04 562,868 535,467 (27,401 )
$ (201,649 )
Core Bond 1,041 30 Yr. U.S. T-Bond June ’04 116,513,310 111,484,497 $ (5,028,813 )
Income Opportunity 687 10 Yr. U.S. T-Note June ’04 79,397,905 75,913,436 $ (3,484,469 )
Short Position:
Core Bond 1,825 5 Yr. U.S. T-Note June ’04 204,393,603 200,635,938 3,757,665
481 10 Yr. U.S. T-Note June ’04 54,317,493 53,150,500 1,166,993
2 30 Yr. U.S. T-Bond Sept. ’04 221,183 211,437 9,746
17 Euro Dollar June ’04 2,269,884 2,272,187 (2,303 )
$ 4,932,101
Income Opportunity 977 5 Yr. U.S. T-Note June ’04 108,857,462 107,408,937 1,448,525
59 30 Yr. U.S. T-Bond Sept. ’04 6,527,247 6,237,406 289,841
$ 1,738,366
Income Trust 255 5 Yr. U.S. T-Note June ’04 28,878,125 28,034,062 844,063
255 5 Yr. U.S. T-Note June ’04 28,421,248 27,308,906 1,112,342
193 10 Yr. U.S. T-Note June ’04 21,943,462 21,326,500 616,962
61 30 Yr. U.S. T-Bond Sept. ’04 6,748,514 6,448,844 299,670
30 Euro Dollar Mar. ’04 7,266,638 7,299,375 (32,737 )
25 Euro Dollar Mar. ’04 5,992,406 5,993,125 (719 )
30 Euro Dollar June ’04 7,346,138 7,400,250 (54,112 )
25 Euro Dollar June ’04 6,036,781 6,054,375 (17,594 )
30 Euro Dollar Sept. ’04 7,316,512 7,369,875 (53,363 )
25 Euro Dollar Sept. ’04 6,021,156 6,030,312 (9,156 )
30 Euro Dollar Dec. ’04 7,289,137 7,335,000 (45,863 )
25 Euro Dollar Dec. ’04 6,006,156 6,009,719 (3,563 )
$ 2,655,930

Details of open forward currency contracts in Core Bond at April 30, 2004, were as follows:

Settlement Contract to — Purchase/ Value at — Settlement Value at Unrealized — Appreciation
Foreign Currency Date Receive Date April 30, 2004 (Depreciation)
Bought:
Euro 07/23/04 € 6,669,000 $ 6,756,881 $ 6,782,548 $ 25,667
Swedish Krona 07/22/04 kr 66,000 8,511 8,623 112
25,779
Sold:
Euro 07/23/04 € 10,113,468 $ 12,025,015 $ 12,100,032 $ (75,017 )
British Pound Sterling 07/21/04 £3,978,528 7,086,953 7,005,636 81,317
Swedish Krona 07/22/04 kr 38,660,864 5,073,151 5,051,639 21,512
27,812

67

Income Trust held one interest rate floor. Under the agreement, Income Trust pays the excess, if any, of a fixed rate over a floating rate. Income Trust received a transaction fee for the floor. Transaction fees are amortized through the termination of the agreement. Details of the interest rate floor held at April 30, 2004, were as follows:

Notional — Amount Variable Floating Termination Amortized Value at — April 30, Unrealized
(000) Rate Rate Date Cost 2004 (Depreciation)
$ 16,000 6.00 % 1-month LIBOR 01/25/05 $ (238,500 ) $ (449,871 ) $ (211,371 )

Details of open interest rate swaps at April 30, 2004, were as follows:

Notional — Amount Fixed Floating Termination Unrealized — Appreciation
Trust (000) Rate Rate Date (Depreciation)
Core Bond $ 41,600 2.55% (a) 3-month LIBOR 4/23/06 $ (77,237 )
25,000 2.635% (a) 3-month LIBOR 8/14/06 (118,939 )
50,000 3.00% (b) 3-month LIBOR 4/16/07 335,342
5,700 3.52% (a) 3-month LIBOR 9/26/08 (81,657 )
5,400 4.412% (b) 3-month LIBOR 2/17/14 229,383
19,000 4.889% (b) 3-month LIBOR 4/22/14 121,244
4,400 5.82% (b) 3-month LIBOR 10/27/24 (53,355 )
$ 354,781
Income Opportunity $ 50,000 2.635% (a) 3-month LIBOR 8/14/06 $ (237,878 )
48,000 3.50% (a) 3-month LIBOR 2/2/07 (232,487 )
50,000 3.00% (b) 3-month LIBOR 4/16/07 335,342
8,000 3.52% (a) 3-month LIBOR 9/26/08 (114,414 )
5,700 4.412% (b) 3-month LIBOR 2/14/14 242,127
7,000 5.23% (b) 3-month LIBOR 11/4/21 205,668
4,800 5.82% (b) 3-month LIBOR 10/27/24 (58,204 )
$ 140,154
Income Trust $ 62,400 2.55% (a) 3-month LIBOR 4/23/06 $ (115,856 )
50,000 2.635% (b) 3-month LIBOR 8/14/06 (237,878 )
24,000 3.55% (a) 3-month LIBOR 10/24/06 336,085
50,000 3.00% (a) 3-month LIBOR 4/16/07 335,342
11,200 3.52% (a) 3-month LIBOR 9/26/08 (160,179 )
19,000 4.889% (b) 3-month LIBOR 4/22/14 121,244
4,500 5.58% (b) 3-month LIBOR 12/7/15 45,675
25,000 5.23% (b) 3-month LIBOR 8/15/23 930,203
5,100 5.82% (b) 3-month LIBOR 10/27/24 (61,840 )
$ 1,192,796

(a) Trust pays floating interest rate and receives fixed rate. (b) Trust pays fixed interest rate and receives floating rate.

Transaction in options written during the period ended April 30, 2004, were as follows:

Contracts/ — Notional Amount Premium
Trust (000) Received
Core Bond
Options outstanding at October 31, 2003 $ 105,708 $ 2,069,401
Options written 287,348 2,408,910
Options expired (44 ) (49,424 )
Options terminated in closing purchase transactions (286,954 ) (2,524,660 )
Options outstanding at April 30, 2004 $ 106,058 $ 1,904,227
Income Opportunity
Options outstanding at October 31, 2003 $ 123,340 $ 2,432,578
Options written 1,101 1,493,653
Options expired — —
Options terminated in closing purchase transactions (1,030 ) (1,267,896 )
Options outstanding at April 30, 2004 $ 123,411 $ 2,658,335
Income Trust
Options outstanding at October 31, 2003 $ 150,485 $ 3,054,224
Options written 454,402 5,122,902
Options expired — —
Options terminated in closing purchase transactions (426,330 ) (3,764,104 )
Options outstanding at April 30, 2004 $ 178,557 $ 4,413,022

68

Note 4. Borrowings Reverse Repurchase Agreements: The Trusts may enter into reverse repurchase agreements with qualified third-party broker-dealers as determined by and under the direction of the Trusts’ Board. Interest on the value of reverse repurchase agreements issued and outstanding is based upon competitive market rates at the time of issuance. At the time a Trust enters into a reverse repurchase agreement, it will establish and maintain a segregated account with the lender, containing liquid investment grade securities having a value not less than the repurchase price, including accrued interest of the reverse repurchase agreement. Details of open reverse repurchase agreements at April 30, 2004 were as follows (please see Corresponding Underlying Collateral Chart on pages 70-71):

Trust Underlying — Collateral Counter Party Rate Trade — Date Maturity — Date Net Closing — Amount Par
Broad Investment Grade 1 Lehman Brothers 0.95 % 4/30/04 5/3/04 $ 5,555,440 $ 5,555,000
2 Lehman Brothers 1.03 4/23/04 5/14/04 17,452,480 17,442,000
22,997,000
Core Bond 3 Lehman Brothers 0.90 4/26/04 5/4/04 21,828,465 21,824,100
4 Lehman Brothers 0.97 4/26/04 5/4/04 15,689,031 15,685,650
5 Lehman Brothers 0.50 4/26/04 5/4/04 7,975,624 7,974,738
6 Lehman Brothers 0.30 4/26/04 5/4/04 24,287,557 24,285,937
7 Lehman Brothers 1.00 4/26/04 5/6/04 7,661,503 7,659,375
8 Lehman Brothers 1.02 4/13/04 5/7/04 12,091,216 12,083,000
9 Lehman Brothers 1.06 4/13/04 5/7/04 4,091,076 4,088,188
10 Lehman Brothers 1.01 4/22/04 5/11/04 24,420,536 24,407,525
118,008,513
Income Opportunity 11 Lehman Brothers 0.95 4/30/04 5/3/04 991,328 991,250
12 Lehman Brothers 0.10 4/26/04 5/4/04 17,968,524 17,968,125
13 Lehman Brothers 0.88 4/26/04 5/4/04 18,519,775 18,516,175
14 Lehman Brothers 0.90 4/26/04 5/4/04 7,193,939 7,192,500
15 Lehman Brothers 1.06 4/13/04 5/7/04 5,627,724 5,623,750
16 Lehman Brothers 1.17 4/30/04 5/7/04 10,222,325 10,220,000
17 Lehman Brothers 0.90 4/22/04 5/11/04 13,976,511 13,969,875
18 Lehman Brothers 0.75 4/22/04 5/11/04 1,793,960 1,793,250
19 Lehman Brothers 1.08 4/13/04 5/13/04 34,407,939 34,377,000
110,651,925
Income Trust 20 Lehman Brothers 0.75 4/26/04 5/4/04 32,375,808 32,370,413
21 Lehman Brothers 0.10 4/26/04 5/4/04 17,968,524 17,968,125
22 Lehman Brothers 0.875 4/26/04 5/4/04 9,024,254 9,022,500
23 Lehman Brothers 0.99 4/26/04 5/6/04 1,581,685 1,581,250
24 Lehman Brothers 1.06 4/8/04 5/11/04 12,790,416 12,778,000
25 Lehman Brothers 1.06 4/8/04 5/13/04 7,869,101 7,861,000
26 Lehman Brothers 1.02 4/15/04 5/14/04 3,008,720 3,006,250
27 Lehman Brothers 0.75 4/15/04 5/14/04 2,930,519 2,928,750
28 Lehman Brothers 0.95 4/15/04 5/14/04 1,171,020 1,170,125
29 Lehman Brothers 1.03 4/23/04 5/14/04 31,644,001 31,625,000
30 Lehman Brothers 0.90 4/23/04 5/14/04 8,013,830 8,009,625
31 Lehman Brothers 1.03 4/23/04 5/14/04 1,412,723 1,411,875
129,732,913
Limited Duration 32 Lehman Brothers 1.50 4/29/04 5/3/04 6,562,094 6,561,000
33 Lehman Brothers 1.50 4/30/04 5/3/04 4,664,581 4,644,000
34 Lehman Brothers 0.88 4/26/04 5/4/04 76,377,433 76,362,500
35 Lehman Brothers 0.88 4/26/04 5/4/04 8,683,338 8,681,650
36 Lehman Brothers 1.15 4/8/04 5/6/04 28,386,367 28,361,000
37 Lehman Brothers 1.20 4/8/04 5/6/04 12,775,913 12,764,000
38 Lehman Brothers 1.06 4/8/04 5/11/04 1,850,797 1,849,000
39 Lehman Brothers 1.03 4/22/04 5/11/04 20,007,120 19,996,250
40 Lehman Brothers 1.20 4/22/04 5/11/04 31,683,053 31,663,000
41 Lehman Brothers 1.08 4/13/04 5/13/04 3,242,916 3,240,000
42 Lehman Brothers 1.08 4/14/04 5/13/04 4,236,683 4,233,000
43 Lehman Brothers 1.50 4/20/04 5/17/04 35,851,287 35,811,000
44 Lehman Brothers 1.50 4/23/04 5/17/04 5,587,582 5,582,000
239,748,400
Strategic Bond 45 Lehman Brothers 0.96 4/28/04 5/3/04 998,883 998,750
46 Lehman Brothers 1.02 4/20/04 5/17/04 9,753,771 9,745,000
47 Lehman Brothers 1.20 4/20/04 5/17/04 16,233,597 16,219,000
48 Lehman Brothers 1.50 4/20/04 5/17/04 3,154,545 3,151,000
49 Lehman Brothers 1.50 4/23/04 5/17/04 304,304 304,000
50 Lehman Brothers 1.50 4/30/04 5/17/04 972,563 971,875
31,389,625

69

Details of underlying collateral for open reverse repurchase agreements at April 30, 2004 were as follows:

Corresponding Underlying Collateral

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

70

Corresponding Underlying Collateral (continued)

Reverse — Repurchase Maturity Original Current
Trust Agreement Description Rate Date Face Face Market Value
Limited 37 Honda Auto Receivables 2.30 % 10/18/07 $ 7,125,000 $ 7,125,000 $ 7,117,658
Duration 38 Federal National Mortgage Assoc. 5.50 10/1/33 2,000,000 1,871,620 1,867,521
(continued) 39 Federal National Mortgage Assoc. 7.25 1/15/10 17,000,000 17,000,000 19,570,400
40 Comcast Cable Communications, Inc. 6.875 6/15/09 6,685,000 6,685,000 7,359,416
40 DaimlerChrysler Auto Trust 2.25 8/8/07 6,900,000 6,900,000 6,897,573
40 Dow Chemical Co. 5.97 1/15/09 4,000,000 4,000,000 4,280,120
40 Ford Motor Credit Co. 7.375 2/1/11 7,500,000 7,500,000 8,019,945
40 Weyerhaeuser Co. 5.25 12/15/09 7,500,000 7,500,000 7,719,060
41 Federal National Mortgage Assoc. Variable 1/1/34 25,000,000 3,302,499 3,359,473
42 Federal National Mortgage Assoc. 5.50 3/1/32 1,100,000 659,772 661,304
42 Federal National Mortgage Assoc. Variable 1/1/34 27,657,926 3,653,611 3,716,642
43 Concentra Operating Corp. 9.50 8/15/10 4,500,000 4,500,000 4,995,000
43 CSC Holdings, Inc. 7.875 12/15/07 4,800,000 4,800,000 5,124,000
43 DaimlerChrysler NA Holding Corp. 4.05 6/4/08 7,500,000 7,500,000 7,357,500
43 Deutsche Telekom Intl. Finance BV Variable 6/15/10 4,000,000 4,000,000 4,726,000
43 Nextel Communications, Inc. 7.375 8/1/15 3,100,000 3,100,000 3,239,500
43 Peru Republic 9.125 2/21/12 5,000,000 5,000,000 5,250,000
43 Qwest Corp. Variable 3/15/12 6,000,000 6,000,000 6,480,000
43 Western Financial Bank 9.625 5/15/12 2,900,000 2,900,000 3,284,250
44 Allied Waste NA 10.00 8/1/09 6,000,000 6,000,000 6,420,000
250,632,659
Strategic
Bond 45 U.S. Treasury Notes 4.250 8/15/13 1,000,000 1,000,000 983,590
46 Bank One Corp. 6.500 2/1/06 1,000,000 1,000,000 1,070,000
46 Barclays Bank PLC Variable 9/29/49 650,000 650,000 785,757
46 DTE Energy Co. 7.050 6/1/11 250,000 250,000 275,370
46 ERP Operating LP 6.950 3/2/11 500,000 500,000 557,300
46 European Investment Bank 4.875 9/6/06 1,000,000 1,000,000 1,049,640
46 FirstEnergy Corp. 7.375 11/15/31 325,000 325,000 341,338
46 Ford Motor Credit Co. 5.800 1/12/09 750,000 750,000 763,305
46 General Motors Acceptance Corp. 6.750 1/15/06 250,000 250,000 264,818
46 General Motors Acceptance Corp. 6.875 9/15/11 900,000 900,000 940,824
46 General Motors Acceptance Corp. 8.000 11/1/31 250,000 250,000 261,925
46 KFW Intl. Finance, Inc. 5.250 6/28/06 850,000 850,000 897,303
46 Lehman Brothers Holdings, Inc. 6.250 5/15/06 1,000,000 1,000,000 1,069,430
46 Metlife, Inc. 6.125 12/1/11 325,000 325,000 349,937
46 Progress Energy, Inc. 6.750 3/1/06 1,000,000 1,000,000 1,068,210
46 Viacom, Inc. 6.625 5/15/11 1,000,000 1,000,000 1,105,930
47 Allstate Corp. 7.875 5/1/05 500,000 500,000 529,250
47 Anadarko Petroleum Corp. 5.375 3/1/07 1,000,000 1,000,000 1,053,950
47 AOL Time Warner, Inc. 7.700 5/1/32 700,000 700,000 771,379
47 AT&T Corp. Variable 11/15/06 900,000 900,000 986,589
47 Bear Stearns Co., Inc. 6.500 5/1/06 325,000 325,000 348,774
47 Citigroup, Inc. 5.750 5/10/06 3,000,000 3,000,000 3,182,130
47 ConocoPhillips Holding Co. 6.950 4/15/29 500,000 500,000 550,360
47 DaimlerChrysler NA Holding Corp. 7.300 1/15/12 1,000,000 1,000,000 1,095,220
47 Ford Motor Credit Co. 6.875 2/1/06 2,000,000 2,000,000 2,119,820
47 General Mills, Inc. 5.125 2/15/07 1,000,000 1,000,000 1,045,470
47 Kellogg Co. 6.000 4/1/06 575,000 575,000 609,753
47 Tyco Intl. Group SA 6.375 2/15/06 1,000,000 1,000,000 1,053,540
47 United Technologies Corp. 6.350 3/1/11 1,000,000 1,000,000 1,095,320
47 Verizon New England, Inc. 6.500 9/15/11 2,000,000 2,000,000 2,173,840
47 Vodafone Group PLC 7.750 2/15/10 1,000,000 1,000,000 1,159,260
48 Adelphia Communications Corp. 1.050 7/15/04 1,000,000 1,000,000 1,100,000
48 Autonation, Inc. 9.000 8/1/08 400,000 400,000 454,000
48 Dresser, Inc. 9.375 4/15/11 2,000,000 2,000,000 2,160,000
49 Curative Hlth. Svcs., Inc. 1.080 5/1/11 350,000 350,000 351,313
50 Autonation, Inc. 9.000 8/1/08 1,000,000 1,000,000 1,135,000
34,759,645

71

The average daily balance and weighted average interest rate of reverse repurchase agreements during the period ended April 30, 2004, were as follows:

Average Daily Weighted Average
Trust Balance Interest Rate
Broad Investment Grade $ 22,781,747 1.02 %
Core Bond 134,535,529 0.97 %
Income Opportunity 95,749,476 1.03 %
Income Trust 116,301,892 0.93 %
Limited Duration 185,476,593 1.08 %
Strategic Bond 37,812,139 1.30 %

Dollar Rolls: The Trusts may enter into dollar rolls in which a Trust sells securities for delivery in the current month and simultaneously contracts to repurchase substantially similar (same type, coupon and maturity) securities on a specified future date. During the roll period the Trusts forgo principal and interest paid on the securities. The Trusts will be compensated by the interest earned on the cash proceeds of the initial sale and/or by the lower repurchase price at the future date.

Loan Payable: High Yield has a $32 million committed credit facility (the “facility”). Under the terms of the facility, the Trust borrows at the London Interbank Offered Rate (“LIBOR”) plus facility and administrative fees. In addition, the Trust pays a liquidity fee on the unused portion of the facility. The Trust may borrow up to 33 1 / 3 % of its total assets up to the committed amount. In accordance with the terms of the facility, the Trust has pledged its portfolio assets as collateral for the borrowing.

For the period ended April 30, 2004, High Yield borrowed a daily weighted average balance of $19,250,000 at a weighted average interest rate at 1.64%.

Note 5. Distributions to Shareholders

The tax character of distributions paid during the period ended April 30, 2004, and the year ended October 31, 2003 were as follows:

Period ended April 30, 2004 — Ordinary Long-term Total
Distributions Paid From: Income Capital Gain Distributions
Broad Investment Grade $ 1,330,692 $ — $ 1,330,692
Core Bond 15,784,368 — 15,784,368
High Yield 3,225,398 — 3,225,398
Income Opportunity 14,468,871 — 14,468,871
Income Trust 19,436,198 — 19,436,198
Limited Duration 27,532,174 — 27,532,174
Strategic Bond 5,841,877 — 5,841,877
Year ended October 31, 2003 — Ordinary Long-term Return Total
Distributions Paid From: Income Capital Gain of Capital Distributions
Broad Investment Grade $ 3,504,653 $ — $ — $ 3,504,653
Core Bond 30,289,664 1,795,095 — 32,084,759
High Yield 6,783,092 — 333,356 7,116,448
Income Opportunity 36,267,803 — — 36,267,803
Income Trust 63,862,381 — — 63,862,381
Limited Duration 9,176,505 — — 9,176,505
Strategic Bond 10,466,535 — — 10,466,535

72

As of April 30, 2004, the components of distributable earnings on a tax basis were as follows:

Undistributed — Ordinary Undistributed — Long-term Unrealized Net
Trust Income Gains Appreciation
Broad Investment Grade $ 4,982,375 $ 633,808 $ 1,467,232
Core Bond 7,270,101 2,618,360 —
High Yield 19,098 — —
Income Opportunity 4,702,102 2,902,569 15,620,859
Income Trust 6,440,612 — —
Limited Duration 1,532,337 3,725,540 23,760,424
Strategic Bond 1,095,429 — 7,377,056

Note 6. Capital There are 200 million of $0.01 par value common shares authorized for Broad Investment Grade, Income Opportunity and Income Trust. There are an unlimited number of $0.001 par value common shares authorized for Core Bond, High Yield, Limited Duration and Strategic Bond. At April 30, 2004, the common shares outstanding and the shares owned by affiliates of the Advisor of each Trust were:

Common Shares Common Shares
Trust Outstanding Owned
Broad Investment Grade 2,957,093 7,093
Core Bond 27,018,774 9,425
High Yield 6,395,321 —
Income Opportunity 34,449,693 —
Income Trust 63,569,490 —
Limited Duration 36,727,287 6,021
Strategic Bond 7,044,552 9,425

During the period ended April 30, 2004, High Yield, Income Trust, Limited Duration and Strategic Bond issued additional shares under their dividend reinvestment plans of 13,673, 179,799, 21,266, and 8,931, respectively. Transactions in common shares of beneficial interest for the year ended October 31, 2003, were as follows:

Shares from — Intial Public Underwriters’ Exercising the Reinvestment Net Increase in
Trust Offering Over-allotment Option of Dividends Shares Outstanding
High Yield — — 29,680 29,680
Income Trust — — 514,874 514,874
Limited Duration 34,306,021 2,400,000 — 36,706,021
Strategic Bond — — 19,467 19,467

Offering costs incurred in connection with the Limited Duration offering of common shares have been charged to paid-in capital in excess of par of the common shares in the amount of $1,222,110.

Note 7. Dividends Subsequent to April 30, 2004, the Board of each of the Trusts declared dividends per common share payable May 28, 2004, to shareholders of record on May 14, 2004. The per share common dividends declared were as follows:

Common Dividend
Trust Per Share
Broad Investment Grade $0.075000
Core Bond 0.087500
High Yield 0.084167
Income Opportunity 0.070000
Income Trust 0.051042
Limited Duration 0.125000
Strategic Bond 0.130000

73

DIVIDEND REINVESTMENT PLANS

Pursuant to each Trust’s respective Dividend Reinvestment Plan (the “Plan”), shareholders of Broad Investment Grade, Income Opportunity and Income Trust may elect, while shareholders of Core Bond, High Yield, Limited Duration and Strategic Bond are automatically enrolled, to have all distributions of dividends and capital gains reinvested by EquiServe Trust Company, N.A. (the “Plan Agent”) in the respective Trust’s shares pursuant to the Plan. Shareholders who do not participate in the Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street or other nominee name, then to the nominee) by the Plan Agent, which serves as agent for the shareholders in administering the Plan.

After Broad Investment Grade and/or Income Opportunity Trust declares a dividend or determines to make a capital gain distribution, the Plan Agent will acquire shares for the participants’ account, by the purchase of outstanding shares on the open market, on the Trust’s primary exchange or elsewhere (“open market purchases”). The Trust will not issue any new shares under the Plan.

After Core Bond, High Yield, Income Trust, Limited Duration and/or Strategic Bond declares a dividend or determines to make a capital gain distribution, the Plan Agent will acquire shares for the participants’ account, depending upon the circumstances described below, either (i) through receipt of unissued but authorized shares from the Trust (“newly issued shares”) or (ii) by open market purchases. If, on the dividend payment date, the NAV is equal to or less than the market price per share plus estimated brokerage commissions (such condition being referred to herein as “market premium”), the Plan Agent will invest the dividend amount in newly issued shares on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the payment date, the dollar amount of the dividend will be divided by 95% of the market price on the payment date. If, on the dividend payment date, the NAV is greater than the market value per share plus estimated brokerage commissions (such condition being referred to herein as “market discount”), the Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases.

The Plan Agent’s fees for the handling of the reinvestment of dividends and distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Plan Agent’s open market purchases in connection with the reinvestment of dividends and distributions. The automatic reinvestment of dividends and distributions will not relieve participants of any Federal income tax that may be payable on such dividends or distributions.

Each Trust reserves the right to amend or terminate the Plan. There is no direct service charge to participants in the Plan; however, each Trust reserves the right to amend the Plan to include a service charge payable by the participants. Participants who request a sale of shares through the Plan Agent are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commisson. All correspondence concerning the Plan should be directed to the Plan Agent at 250 Royall Street, Canton, MA 02021 or (800) 699-1BFM.

74

ADDITIONAL INFORMATION

The Joint Annual Meeting of Shareholders was held on May 26, 2004, to elect a certain number of Directors/Trustees for each of the following Trusts to three year terms expiring in 2007:

Core Bond
Elected the Class I Directors as follows:
Director Votes for Votes Withheld
Richard E. Cavanagh 2,399,250 22,018
James Clayburn La Force, Jr. 2,398,950 22,318
Broad Investment Grade
Elected the Class III Trustees as follows:
Trustee Votes for Votes Withheld
Andrew F. Brimmer 22,737,026 230,263
Kent Dixon 22,770,207 197,082
Robert S. Kapito 22,784,467 182,822
High Yield
Elected the Class II Trustees as follows:
Trustee Votes for Votes Withheld
Frank J. Fabozzi 5,605,743 77,206
Walter F. Mondale 5,576,541 106,408
Ralph L. Schlosstein 5,607,483 75,466
Income Opportunity
Elected the Class III Directors as follows:
Director Votes for Votes Withheld
Andrew F. Brimmer 28,101,876 744,186
Kent Dixon 28,132,303 713,759
Robert S. Kapito 28,136,967 709,095
Income Trust
Elected the Class III Directors as follows:
Director Votes for Votes Withheld
Andrew F. Brimmer 55,106,787 671,942
Kent Dixon 55,158,072 620,657
Robert S. Kapito 55,183,010 595,719
Limited Duration
Elected the Class I Trustees as follows:
Trustee Votes for Votes Withheld
Richard E. Cavanagh 29,016,706 223,904
James Clayburn La Force Jr. 28,994,099 246,511
Strategic Bond
Elected the Class III Trustees as follows:
Trustee Votes for Votes Withheld
Andrew F. Brimmer 5,687,467 46,597
Kent Dixon 5,695,967 38,097
Robert S. Kapito 5,694,117 39,947

Quarterly performance and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com/funds/cefunds/index.html. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended, to incorporate BlackRock’s website into this report.

Certain of the officers of the Trusts listed on the inside back cover of this Report to Shareholders are also officers of the Advisor or Sub-Advisor. They serve in the following capacities for the Advisor or Sub-Advisor; Robert S. Kapito—Director and Vice Chairman of the Advisor and the Sub-Advisor, Henry Gabbay and Anne Ackerley—Managing Directors of the Advisor and the Sub-Advisor, Jeff Gary, Richard M. Shea and James Kong—Managing Directors of the Sub-Advisor, Vincent B. Tritto—Director of the Sub-Advisor, and Brian P. Kindelan—Director of the Advisor.

75

BlackRock Closed-End Funds

Trustees Transfer Agent
Ralph L. Schlosstein, Chairman EquiServe Trust Company, N.A.
Andrew F. Brimmer 250 Royall Street
Richard E. Cavanagh Canton, MA 02021
Kent Dixon (800) 699-1BFM
Frank J. Fabozzi
Robert S. Kapito Independent Accountants
James Clayburn La Force, Jr. Deloitte & Touche LLP
Walter F. Mondale 200 Berkeley Street
Boston, MA 02116
Officers
Robert S. Kapito, President Legal Counsel
Henry Gabbay, Treasurer Skadden, Arps, Slate, Meagher & Flom LLP
Anne Ackerley, Vice President Four Times Square
Jeff Gary, Vice President 1 New York, NY 10036
Richard M. Shea, Vice President/Tax
James Kong, Assistant Treasurer Legal Counsel – Independent Trustees
Vincent B. Tritto, Secretary Debevoise & Plimpton LLP
Brian P. Kindelan, Assistant Secretary 919 Third Avenue
New York, NY 10022
Investment Advisor
BlackRock Advisors, Inc. This report is for shareholder information. This is not a
100 Bellevue Parkway prospectus intended for use in the purchase or sale of Trust shares.
Wilmington, DE 19809 Statements and other information contained in this report are as
(800) 227-7BFM dated and are subject to change.
Sub-Advisor 2 BlackRock Closed-End Funds
BlackRock Financial Management, Inc. c/o BlackRock Advisors, Inc.
40 East 52nd Street 100 Bellevue Parkway
New York, NY 10022 Wilmington, DE 19809
(800) 227-7BFM
Custodian
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02110
1 For High Yield
2 For Core Bond, Limited Duration and Strategic Bond.

The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact the Trusts at (800)227-7BFM.

The Trusts have delegated to the Advisor the voting of proxies relating to their voting securities pursuant to the Advisor’s proxy voting policies and procedures. You may obtain a copy of these proxy voting policies and procedures, without charge, by calling (800) 699-1236. These policies and procedures are also available on the website of the Securities and Exchange Commission at http://www.sec.gov.

This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of Trust shares. Statements and other information contained in this report are as dated and are subject to change. CEF-Semi-3

ITEM 2. Code of Ethics.

Not applicable for semi-annual reports.

ITEM 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

ITEM 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

ITEM 5. Audit Committee of Listed Registrants.

Not applicable for semi-annual reports.

ITEM 6. Schedule of Investments.

Not applicable for reports for periods ending on or before July 9, 2004.

ITEM 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable for semi-annual reports.

ITEM 8. Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers.

Not applicable for reports covering periods ending on or before June 15, 2004.

ITEM 9. Submission of Matters to a Vote of Security Holders.

Not applicable.

ITEM 10. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have evaluated the Registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the Registrant’s disclosure controls and procedures are effective, as of a date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.

(b) The Registrant’s principal executive officer and principal financial officer are aware of no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s most recent fiscal half-year that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 11. Exhibits.

(a)(1) Not applicable.

(a)(2) Separate certifications of Principal Executive and Financial Officers pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

(a)(3) Not applicable.

(b) Certification of Principal Executive and Financial Officers pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

2

SIGNATURES

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.

(Registrant) ___ The BlackRock Income Trust Inc. ______
By: /s/ Henry Gabbay _______
Name: Henry Gabbay
Title: Treasurer
Date: July 2, 2004

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By: /s/ Robert S. Kapito _______
Name: Robert S. Kapito
Title: Principal Executive Officer
Date: July 2, 2004
By: /s/ Henry Gabbay _______
Name: Henry Gabbay
Title: Principal Financial Officer
Date: July 2, 2004

3

More from BLACKROCK INCOME TRUST, INC.

Regulatory Filings 2025
Nov 26
Prospectus 2025
Nov 26
Regulatory Filings 2025
Oct 21
Director's Dealing 2025
Oct 14
Regulatory Filings 2025
Oct 3
Prospectus 2025
Sep 30
Regulatory Filings 2025
Sep 29
Regulatory Filings 2025
Sep 17
Regulatory Filings 2025
Sep 12
Regulatory Filings 2025
Sep 4
View all filings →

Talk to a Data Expert

Have a question? We'll get back to you promptly.