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.
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.
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.
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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 | |
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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 | |
| | | | | | | | | | | | |
| |
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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 | |
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.
(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 |
