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:__811-07250____________________________________

__________________________The BlackRock Broad Investment Grade 2009 Term 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 Broad Investment Grade 2009 Term 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 Yield1 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 Breakdown3






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 Breakdown3





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 Breakdown3




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 Breakdown3




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 Breakdown3






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 Breakdown3




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    
Rating1 (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    
Rating1 (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      
Rating1 (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      
Rating1 (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      
Rating1 (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    
Rating1 (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    
Rating1 (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    
Rating1 (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    
Rating1 (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    
Rating1 (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    
Rating1 (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
Ba3
  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      
Rating1 (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    
Rating1 (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    
Rating1 (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    
Rating1 (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    
Rating1 (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    
Rating1 (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      
Rating1 (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    
Rating1 (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
   
Rating1 (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    
Rating1 (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    
Rating1 (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      
Rating1 (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    
Rating1 (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      
Rating1 (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    
Rating1 (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    
Rating1 (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    
Rating1 (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    
Rating1 (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    
Rating1 (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    
Rating1 (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    
Rating1 (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    
Rating1 (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    
Rating1 (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    
Rating1 (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 value2  
$
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 value3                       32,141,472     96,195,728              
   Outstanding options written at value4         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 value4                             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 treasury5                       (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 share6     $ 15.75     $ 14.62     $ 7.77     $ 11.93     $ 6.99     $ 19.85     $ 15.16  
     

   

   

   

   

   

   

 
1Consolidated Statement of Assets and Liabilities                                                          
2Investments at cost   $ 68,043,676   $ 643,012,936   $ 74,956,009   $ 534,449,954   $ 775,567,245   $ 1,068,262,980   $ 128,137,033  
3Proceeds received                       32,271,393     96,272,921              
4Premium received           1,904,227           2,658,335     4,413,022              
5Shares held in treasury                       1,757,400                    
6Common 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 Trust1   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 RETURN1 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 period3
$
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, 20011  
  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 RETURN3 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 period5 $ 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                   19981  
  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 RETURN2 (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 period4 $ 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 RETURN1 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 period3 $ 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 RETURN1 (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 period3 $ 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   For the period  
  Ended   July 30, 20031  
  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 RETURN3 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 period5 $ 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       For the period  
  Ended       February 28, 20021  
  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 RETURN3 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 period5 $ 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 CoreBond 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:

  Capital Loss         Capital Loss    
Trust
Carryforwards Amount   Expires  
Trust
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:

                      Unrealized  
  Number of       Expiration   Value at   Value at   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:

      Contract to   Value at       Unrealized  
  Settlement   Purchase/   Settlement   Value at   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
                    Value at        
Amount
  Variable   Floating   Termination   Amortized   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               Unrealized  
  Amount   Fixed   Floating   Termination   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):

  Underlying           Trade   Maturity   Net Closing      
Trust
Collateral   Counter Party   Rate   Date   Date   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   Undistributed      
  Ordinary   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 President1    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-Advisor2 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.



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 Broad Investment Grade 2009 Term 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