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THE BLACKROCK NORTH AMERICAN GOVERNMENT INCOME TRUST INC.
SEMI-ANNUAL REPORT TO SHAREHOLDERS
REPORT OF INVESTMENT ADVISER
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May 31, 1996
Dear Trust Shareholder:
After posting strong returns during 1995, the fixed income markets have
given back much of their gains in 1996 in response to a strengthening U.S.
economy. Accelerating economic growth has raised concerns about an increased
inflationary environment, which could erode the value of fixed income
investments. The stronger economy also has led some market participants to
consider the possibility that the Federal Reserve may increase interest rates to
thwart inflation threats after three interest rate reductions over the past
twelve months.
Despite the pick-up in economic growth, we believe that current inflationary
fears will subside. Commodity prices have risen but manufacturers will have
difficulty passing along the increased costs of raw materials to consumers,
whose debt levels as a percentage of disposable income are at the highest point
since the recessionary highs of 1990. We believe that the overleveraged consumer
will have to retrench, restricting future economic expansion and creating a
positive environment for bonds in the latter half of this year.
The following semi-annual report provides detailed market commentary and a
review of portfolio management activity. We believe that BlackRock's duration
controlled management style and risk management capabilities will allow each
of our Trusts to achieve its long-term investment objective.
We look forward to maintaining your respect and confidence and to serving
your financial needs in the coming years.
Sincerely,
Laurence D. Fink Ralph L. Schlosstein
Chairman President
1
<PAGE>
May 31, 1996
Dear Shareholder:
We are pleased to present the semi-annual report for The BlackRock North
American Government Income Trust Inc. ("the Trust") for the six months ended
April 30, 1996. We would like to take this opportunity to review the Trust's
stock price and net asset value (NAV) performance, summarize market developments
in the United States and Canada and discuss recent portfolio management
activity.
The Trust is a non-diversified, actively managed closed-end bond fund whose
shares are traded on the New York Stock Exchange under the symbol "BNA". The
Trust's investment objective is to provide high monthly income consistent with
the preservation of capital. The Trust seeks this objective by investing in
Canadian and U.S. dollar-denominated investment grade fixed income securities,
with at least 65% of the Trust's assets to be Canadian dollar-denominated
securities (primarily Canadian provincial debt, Canadian Treasury securities and
Canadian mortgage-backed securities). The U.S. portion of the portfolio is
expected to consist primarily of mortgage-backed securities backed by U.S.
Government agencies (such as Fannie Mae, Freddie Mac or Ginnie Mae) and, to a
lesser extent, U.S. Government securities, asset-backed securities and privately
issued mortgage-backed securities. All of the Trust's assets must be rated "BBB"
by Standard & Poor's or "Baa" by Moody's at the time of purchase or be issued or
guaranteed by the Canadian or U.S. Governments or their agencies.
The table below summarizes the performance of the Trust's stock price and
NAV (the market value of its bonds per share) over the period:
--------------------------------------------------
Six-Month Six-Month
4/30/96 10/31/95 Change High Low
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Stock Price $ 9.50 $10.125 (6.17%) $10.375 $ 9.375
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Net Asset Value (NAV) $11.10 $11.36 (2.29%) $11.66 $11.00
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Premium/(Discount) to NAV (14.41%) (10.87%) (3.54%) (8.15%) (17.46%)
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Currency Exchange Rate $0.7345 $0.7464 (1.59%) $0.7464 $0.7232
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The Canadian and U.S. Fixed Income Markets
Canadian bonds outperformed their U.S. counterparts over the past six
months, spurred by low inflationary expectations for Canada and three reductions
of the key rate by the Bank of Canada in 1996. The Canadian economy has not
rebounded as significantly as the U.S. economy in 1996 and the continued efforts
by the Canadian government and provinces to reduce their respective budget
deficits have been viewed favorably by the international community, spurring
demand for Canadian dollar-denominated fixed income securities.
After rallying throughout 1995, the U.S. bond markets reversed direction in
mid-February 1996 in response to data indicating accelerating economic growth
which signaled the potential for an increased inflationary environment. Evidence
of stronger growth in the economy may indicate increased levels of inflation,
which can cause bond yields to rise and prices to fall. For the first quarter of
1996, U.S. economic growth as measured by GDP grew 2.8%, a strong rebound from
the 0.5% gain posted in the fourth quarter of 1995.
The Canadian market's strong relative performance to the U.S. market is
evidenced by the yield difference between the Canadian and U.S. 10-year
governments, which narrowed from 150 basis points (1.50%) on October 31, 1995 to
112 basis points on April 30. The Canadian ten-year increased only 27 basis
points to end the period at 7.79%, while the U.S. ten-year Treasury's yield rose
65 basis points to close at 6.67% on April 30, 1996.
The currency exchange rate between the Canadian and U.S. dollars remained
fairly stable over the semi-annual period. The high of $0.7464 on October 31
occurred after a significant rally the day after Quebec's unsuccessful bid to
secede from Canada. The currency traded down after the initial favorable
reaction to the vote and remained in a tight trading range throughout the
period, closing on April 30, 1996 at $0.7345.
2
<PAGE>
The U.S. mortgage-backed securities (MBS) market posted strong relative
performance during the first four months of 1996, as rising interest rates
resulted in a reduction in prepayment risk. Still, many investors remained on
the sidelines, convinced that even historically high mortgage yields relative to
Treasuries offered inadequate compensation for the perceived risks of owning
MBS. Due to such narrow participation, MBS performance in 1996 has been somewhat
short of expectations, creating a window of purchasing opportunity for the
Trust.
The Trust's Portfolio and Investment Strategy
BlackRock actively manages the Trust's portfolio holdings consistent with
BlackRock's overall market outlook and the Trust's investment objectives. The
Trust's Canadian and U.S. holdings are managed as two separate portfolios. The
Canadian portfolio's benchmark is a standard Canadian bond index, providing for
diversification across all provinces. The U.S. mortgage portfolio is managed to
maintain an interest rate sensitivity (or duration) resembling that of a
ten-year Treasury; this means that the change in the portfolio's NAV will
approximate the price movement of the ten-year given a change in interest rates.
BNA's Canadian exposure has generally remained between 65% and 75% of the
portfolio's assets. The following chart compares the Trust's current and October
31, 1995 asset composition.
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Composition April 30, 1996 October 31, 1995
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Canadian Portfolio Allocation 74% 72%
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Ontario 16% 14%
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Canadian Mortgages 10% 10%
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Quebec 7% 3%
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New Foundland 6% 6%
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British Columbia 6% 5%
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Canadian Government Securities 5% 11%
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Alberta 5% 7%
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Manitoba 5% 5%
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Saskatchewan 5% 5%
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New Brunswick 5% 3%
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Nova Scotia 2% 2%
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Prince Edward Island 2% 1%
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U.S. Portfolio Allocation 26% 28%
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FHA Project Loans 7% 7%
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Stripped Mortgage-Backed Securities 6% 3%
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Agency Mortgage Pass-Throughs 4% 4%
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Agency Multiple Class Mortgage
Pass-Throughs 4% 3%
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Non-Agency Multiple Class Mortgage
Pass-Throughs 3% 7%
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U.S. Government Securities 1% 3%
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Adjustable Rate Mortgage Securities 1% 1%
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The Trust was able to take advantage of the steepness of certain portions of
the Canadian yield curve in 1996 by "extending" the maturities on bonds held in
the portfolio. This strategy allowed the Trust to sell a bond of a given issuer
and replace it with a nominally longer maturity bond from the same issuer. The
steepness of the Canadian yield curve gave the Trust the opportunity to pick up
significant yield by extending the bond's maturity while marginally changing its
incremental price risk. The Trust has been seeking to selectively reduce its
overall Canadian dollar exposure to continue to gravitate towards two-thirds of
portfolio assets.
3
<PAGE>
The Trust's Board of Directors announced a reduction in the Trust's monthly
dividend from $0.078125 ($0.9375 annualized) to $0.07 ($0.84 annualized)
effective with the April 30, 1996 dividend payment. This adjustment was made
after careful evaluation of the current and anticipated level of the Trust's net
investment income, which decreased during 1995 due to the decline in Canadian
and U.S. interest rates and a flattening of the yield curves, which reduced the
amount of excess income the Trust earns from leverage.
The Board also announced that the Trust expects to offset between 75% and
80% of its current year's (1996) investment income with prior Canadian currency
losses, which in 1995 caused 100% of the Trust's 1995 distributions to not be
subject to current income taxation. While the Trust would be earning its
dividend from ordinary income, the ability to offset such income with currency
losses will result in the reclassification of between 75% to 80% of all ordinary
income dividends as a return of capital which will not be subject to federal,
state and local income tax. As with 1995's return of capital distributions,
shareholders will be required to reduce their original cost basis by the amount
of return of capital distributions received for purposes of determining capital
gain or loss on any future sale of shares.
We look forward to continuing to manage the Trust to benefit from the
opportunities available to investors in the fixed income markets as well as to
maintain the Trust's ability to meet its investment objectives. We thank you for
your investment in The BlackRock North American Government Income Trust Inc.
Please feel free to contact our marketing center at (800) 227-7BFM (7236) if you
have specific questions that were not addressed in this report.
Sincerely,
Robert S. Kapito Keith T. Anderson
Vice Chairman and Managing Director and
Portfolio Manager Portfolio Manager
BlackRock Financial Management, Inc. BlackRock Financial Management, Inc.
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The BlackRock North American Government Income Trust Inc.
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Symbol on New York Stock Exchange: BNA
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Initial Offering Date: December 20, 1991
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Closing Stock Price as of 4/30/96: $9.50
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Net Asset Value as of 4/30/96: $11.10
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Yield on Closing Stock Price as of 4/30/96 ($9.50)1: 8.84%
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Current Monthly Distribution per Share2: $0.07
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Current Annualized Distribution per Share2: $0.84
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- ------------
1Yield on Closing Stock Price is calculated by annualizing the current monthy
distribution per share and dividing it by the closing stock price per share.
2The distribution is not constant and is subject to change.
4
<PAGE>
(Left Column)
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The BlackRock North American
Government Income Trust Inc.
Portfolio of Investments
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
S&P/ Principal
Moody's Amount Value
Ratings (000) Description (Note 1)
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS-140.3%
United States Securities-36.9%
Mortgage Pass-Throughs-17.4%
$13,800++ Federal Home Loan Mortgage
Corporation, 6.50%, 1/01/99 ....... $ 12,959,028
Federal Housing Administration,
GMAC,
2,257 Series 37, 7.43% 5/01/22 ........ 2,252,958
1,374 Series 44, 7.43%, 8/01/22 ....... 1,373,215
1,709 Series 59, 7.43%, 7/01/21 ....... 1,713,314
752 Series 65, 7.43%, 2/01/23 ....... 754,639
Merrill,
3,049 Series 29, 7.43%, 10/01/20 ...... 3,059,027
25,474 Series 42, 7.43%, 9/01/22 ....... 25,627,954
2,323 Reilly, Series B-11, 7.40%,
4/01/21 ......................... 2,323,908
2,399 Westmore Project 8240,
7.25%, 4/01/21 .................. 2,386,406
Government National Mortgage
Association,
10,305 6.50%, 4/20/25,
1 Year CMT (ARM) ................ 10,422,538
4,439 6.00%, 12/15/08 - 4/15/09,
15 year ......................... 4,226,425
2,964 8.00%, 4/15/24 - 11/15/25 ......... 3,001,589
-----------
70,101,001
-----------
Multiple Class Mortgage
Pass-Throughs-10.4%
AAA 16,000 Community Program Loan Trust,
Collateralized Mortgage
Obligation, Series 1987-A,
Class A4, 10/01/18 ................ 13,300,000
Federal Home Loan Mortgage
Corporation, Multiclass
Mortgage Participation
Certificates,
8,000 Series 120, Class 120-H,
2/15/21 ......................... 8,294,000
83 Series 1363, Class 1363-E,
8/15/22(ARM) .................... 2,372,281
12,285 Series 1379, Class 1379-P,
8/15/18(I) ...................... 1,428,003
(Right Column)
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S&P/ Principal
Moody's Amount Value
Ratings (000) Description (Note 1)
- --------------------------------------------------------------------------------
Federal National Mortgage
Association, REMIC
Pass-Through Certificates,
$ 9,199 Trust 1989-90, Class 90-E,
12/25/19 ........................ $ 9,568,137
26 Trust 1992-48,
Class 48-J (I) .................. 785,887
1,390 Trust G1993-27, Class 27-SE,
8/25/23 (ARM) ................... 683,191
2,100 Trust 1996-14, Class 14-M,
10/25/21 ........................ 1,623,891
Aaa 5,467 G. E. Capital Mortgage Services,
Trust 1993-13, Class A2,
10/25/08 (ARM) .................... 303,737
AAA 3,000 ML Trust XXXVI, Collateralized
Mortgage Obligation, Series 36,
Class D, 11/01/18 ................. 3,157,320
-----------
41,516,446
-----------
Stripped Mortgage-Backed
Securities-8.8%
Federal Home Loan Mortgage
Corporation,
250 Series 1403, Class 1403-MA,
12/15/21(I/O) ................... 8,975,390
9,461 Series 1254, Class 1254-Z,
4/15/22 (I/O) ................... 2,684,698
61 Series 1430, Class 1430-KA,
12/15/21 (I/O) .................. 2,148,120
75 Series 1434, Class 1434-M,
12/15/22 (I/O) .................. 4,912,500
50 Series 1459, Class 1459-JA,
8/15/20 (I/O) ................... 1,682,500
5,620 Series 1571, Class 1571-E,
8/15/23 (P/O) ................... 2,247,830
Federal National Mortgage
Association,
8,414@ Trust 2, Class 2,
2/01/17 (I/O) ................... 2,602,304
6,767 Trust 11, Class 2,
2/01/17 (I/O) ................... 2,078,558
5,023 Trust 116, Class 2,
11/01/17 (I/O) .................. 1,560,363
44 Trust 1991-24,
Class 24-0, 3/25/21 (I/O) ....... 2,063,416
21 Trust 1991-160, Class 160-PM,
12/25/21 (I/O) .................. 999,575
See Notes to Financial Statements.
5
<PAGE>
(Left Column)
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S&P/ Principal
Moody's Amount Value
Ratings (000) Description (Note 1)
- --------------------------------------------------------------------------------
Stripped Mortgage-Backed
Securities (cont'd.)
Federal National Mortgage
Association,
$ 20 Trust G1992-5,
Class 5-E, 11/25/22 (I/O) ....... $ 998,410
2,627 Trust 1994-22,
Class 22-E, 1/25/24 (P/O) ....... 1,602,190
AAA 30,179 Greenwich Capital Acceptance,
Series 1994-LB3, Class 2,
8/25/24 (I/O) ..................... 748,904
-----------
35,304,758
-----------
U.S Government Securities-0.3%
U.S. Treasury Notes,
650 5.50%, 11/15/98 ................... 640,048
650 5.875%, 2/15/04 ................... 620,139
-----------
1,260,187
-----------
Total United States Securities
(cost $147,681,514) ............... 148,182,392
-----------
Canadian Securities-103.4%
Canadian Government Securities-7.2%
Canadian Treasury Note,
C$20,000 8.50%, 3/01/00 .................... 15,483,056
14,000 12.25%, 9/01/05 ................... 13,291,095
-----------
Total Canadian Government
Securities (cost $30,156,875) ..... 28,774,151
-----------
Canadian Mortgages-14.5%
Conduit for Mortgage Obligation,
9,000 6.95%, 9/01/98 .................... 6,639,442
13,000 8.25%, 5/01/98 .................... 9,810,870
8,390 Firstline Prepayable,
8.625%, 5/01/97 ................... 6,281,910
5,151 ManuLife Prepayable,
7.625%, 2/01/98 ................... 3,841,557
(Right Column)
- --------------------------------------------------------------------------------
S&P/ Principal
Moody's Amount Value
Ratings (000) Description (Note 1)
- --------------------------------------------------------------------------------
C$28,079 NHA Mortgage Backed Securities
Corporation, Household Trust,
7.75%, 6/01/99 .................... $21,017,126
3,852 Pacific Coast,
7.375%, 7/01/98 ................... 2,877,090
Shoppers,
2,245 9.125%, 4/01/02 ................... 1,731,889
7,803 9.125%, 5/01/02 ................... 6,019,653
-----------
Total Canadian Mortgages
(cost $57,532,437) ................ 58,219,537
-----------
Canadian Provincial Securities-81.7%
Alberta-7.4%
Alberta Province,
Aa2 25,000+ 7.50%, 12/01/05 ................... 17,869,611
Aa2 15,000+ 9.75%, 5/08/98 .................... 11,757,829
-----------
29,627,440
-----------
British Columbia-8.0%
A1 44,000+ British Columbia Province,
7.50%, 6/09/14 .................... 29,460,416
A1 4,000 Municipal Finance Authority B. C.,
7.75%, 12/01/05 ................... 2,887,577
-----------
32,347,993
-----------
Manitoba-6.6%
AA- 3,000 City of Winnipeg,
9.375%, 2/11/13 ................... 2,335,659
Manitoba Province,
A1 16,500+ 7.75%, 9/14/00 .................... 12,412,254
A2 15,000+ 9.375%, 11/15/04 .................. 12,004,836
-----------
26,752,749
-----------
New Brunswick-6.6%
New Brunswick Province,
A1 20,000 7.50%, 12/15/05 ................... 14,146,162
AA- 14,600+ 10.125%, 10/31/11 ................. 12,364,147
-----------
26,510,309
-----------
Newfoundland-8.1%
A1 36,000 Newfoundland and Labrador
Province,
10.95%, 4/15/21 ................... 32,390,745
-----------
See Notes to Financial Statements.
6
<PAGE>
(Left Column)
- --------------------------------------------------------------------------------
S&P/ Principal
Moody's Amount Value
Ratings (000) Description (Note 1)
- --------------------------------------------------------------------------------
Nova Scotia-3.0%
A- C$15,000+ Nova Scotia Province,
9.60%, 1/30/22 .................... $ 11,931,682
------------
Ontario-22.3%
AA 10,000+ Ontario Hydro,
8.90%, 8/18/22 .................... 7,529,923
Ontario Province,
AA- 25,000+ 7.50%, 1/19/06 .................... 17,671,667
AA- 25,000 8.00%, 6/02/26 .................... 17,073,063
AA- 25,000+ 8.10%, 9/08/23 .................... 17,309,934
AA- 28,500 9.75%, 10/29/01 ................... 22,931,709
AA+ 10,000 Toronto Metropolitan Municipality
Ontario,
7.75%, 12/01/05 ................... 7,091,436
------------
89,607,732
------------
Prince Edward Island-2.3%
BBB1 13,000 Prince Edward Island Province,
8.50%, 10/27/15 ................... 9,319,124
------------
Quebec-10.3%
Hydro Quebec,
A+ 10,000+ 7.00%, 6/01/04 .................... 6,847,587
A2 18,600+ 10.25%, 5/15/03 ................... 14,645,010
A2 7,250 10.75%, 3/27/04 ................... 5,718,528
A+ 18,700 Quebec Province,
10.25%, 5/04/01 ................... 14,284,245
------------
41,495,370
------------
Saskatchewan-7.1%
Saskatchewan Province,
A3 34,500 7.50%, 12/19/05 ................... 24,393,236
A3 5,000 11.00%, 1/09/01 ................... 4,212,446
------------
28,605,682
------------
Total Canadian Provincial
Securities (cost $334,701,682) .... 328,588,826
------------
Total Canadian Securities
(cost $422,390,994) ............... 415,582,514
------------
Total Long-Term Investments
(cost $570,072,508) ............... 563,764,906
------------
(Right Column)
- --------------------------------------------------------------------------------
Principal
Amount Value
(000) Description (Note 1)
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS-2.2%
Discount Notes (a)-2.0%
$ 5,000 Aubrey Lanston Government,
5.30%, 5/01/96 .................... $ 5,000,000
3,100 Federal Home Loan Bank,
5.30%, 5/01/96 .................... 3,100,000
------------
8,100,000
------------
Contracts #
- -----------
Call Option Purchased-0.2%
478 United States Treasury Note
Future, Expiring Sept. 1996 @
107 (cost $816,364) ............... 858,906
------------
Total Short-Term Investments
(cost $8,916,364) ................. 8,958,906
------------
Total Investments-142.5%
(cost $578,988,872) ............... 572,723,812
Liabilities in excess of other
assets-(42.5%) .................... (170,732,115)
------------
NET ASSETS-100% ..................... $401,991,697
============
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KEY TO ABBREVIATIONS
ARM- Adjustable Rate Mortgage.
CMO- Collateralized Mortgage Obligation.
I- Denotes a CMO with interest only characteristics.
I/O- Interest Only.
P/O- Principal Only.
REMIC- Real Estate Mortgage Investment Conduit.
- --------------------------------------------------------------------------------
* Using the higher of Standard & Poor's or Moody's rating.
# One contract equals 100,000 face value.
+ Entire principal amount pledged as collateral for reverse
repurchase agreements.
++ Mortgage Dollar Roll.
@ Entire principal amount pledged as collateral for futures transactions.
(a) Security was purchased on a discount basis. The interest rate
shown has been adjusted to reflect a money market equivalent.
See Notes to Financial Statements.
7
<PAGE>
(Left Column)
- --------------------------------------------------------------------------------
The BlackRock North American
Government Income Trust Inc.
Statement of Assets and Liabilities
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
Assets
Investments, at value (cost $578,988,872) (Note 1) .............. $572,723,812
Cash ............................................................ 349,454
Canadian dollars, at value (cost $2,807,622) .................... 3,406,881
Interest receivable ............................................. 12,384,657
Receivable for investments sold ................................. 2,224,010
Due from broker-variation margin ................................ 212,611
------------
591,301,425
------------
Liabilities
Reverse repurchase agreements (Note 4) .......................... 168,767,948
Dollar roll payable ............................................. 12,927,150
Unrealized depreciation on mortgage swap
(Notes 1 & 3) ................................................. 3,758,429
Payable for investments purchased ............................... 2,696,642
Dividends payable ............................................... 245,875
Advisory fee payable (Note 2) ................................... 199,210
Forward currency contracts-amount
payable to counterparties (Notes 1 & 3) ....................... 181,201
Interest payable ................................................ 177,992
Administration fee payable (Note 2) ............................. 33,202
------------
Other accrued expenses .......................................... 322,079
------------
189,309,728
------------
Net Assets ...................................................... $401,991,697
============
Net assets were comprised of:
Common stock, at par (Note 5) ................................. $ 362,071
Paid-in capital in excess of par .............................. 465,060,294
------------
465,422,365
Distributions in excess of net investment income .............. (10,875,627)
Accumulated net realized loss on investments .................. (42,919,515)
Net unrealized appreciation on investments .................... 2,838,029
Accumulated net realized and unrealized foreign
currency loss ............................................... (12,473,565)
------------
Net assets, April 30, 1996 .................................... $401,991,697
============
Net asset value per share:
($401,991,697 / 36,207,093 shares of
common stock issued and outstanding) .......................... $11.10
======
(Right Column)
- --------------------------------------------------------------------------------
The BlackRock North American
Government Income Trust Inc.
Statement of Operations
Six Months Ended April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
Net Investment Income
Income
Interest (net of premium amortization of
$3,426,080 and net of interest expense of
$5,298,515) ................................................ $19,035,708
-----------
Expenses
Investment advisory .......................................... 1,225,162
Administration ............................................... 204,194
Custodian .................................................... 179,000
Reports to shareholders ...................................... 139,000
Audit ........................................................ 42,000
Directors .................................................... 36,000
Transfer agent ............................................... 25,000
Miscellaneous ................................................ 119,772
-----------
Total operating expenses ................................... 1,970,128
-----------
Net investment income ........................................ 17,065,580
-----------
Realized and Unrealized Gain (Loss) on
Investments and Foreign Currency
Transactions (Note 3)
Net realized gain (loss) on:
Investments .................................................. 14,961,866
Futures ...................................................... (1,065,454)
Short sales .................................................. (188,044)
Foreign currency ............................................. (14,904,264)
-----------
(1,195,896)
-----------
Net change in unrealized appreciation
(depreciation) on:
Investments .................................................. (19,739,886)
Futures ...................................................... 2,739,152
Short sales .................................................. 142,398
Options ...................................................... (11,165)
Foreign currency ............................................. 8,495,281
-----------
(5,849,082)
-----------
Net loss on investments and foreign currency
transactions ................................................. (9,691,177)
-----------
Net Increase In Net Assets
Resulting from Operations ...................................... $ 7,374,403
===========
See Notes to Financial Statements.
8
<PAGE>
Left Col.
- --------------------------------------------------------------------------------
The BlackRock North American
Government Income Trust Inc.
Statement of Cash Flows
Six Months Ended April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
Increase (Decrease) in Cash
(Including Foreign Currency)
Cash flows provided by operating activities:
Interest received .......................................... $ 25,580,000
Operating expenses paid .................................... (2,058,241)
Interest expense paid on reverse repurchase
agreements ............................................... (5,982,475)
Purchases of short-term portfolio investments
including options, net ................................... (8,223,902)
Purchases of long-term portfolio investments ............... (372,736,852)
Proceeds from disposition of long-term
portfolio investments .................................... 417,947,980
Variation margin on futures ................................ 1,653,512
Other ...................................................... 8,717
------------
Net cash flows provided by operating activities ............ 56,188,739
------------
Cash flows used for financing activities:
Decrease in reverse repurchase agreements .................. (33,934,906)
Cash dividends paid ........................................ (16,724,159)
------------
Net cash flows used for financing activities ............... (50,659,065)
------------
Net realized and unrealized foreign currency loss ............ (3,782,824)
------------
Net increase in cash ......................................... 1,746,850
Cash at beginning of period .................................. 2,009,485
------------
Cash at end of period ........................................ $ 3,406,881
============
Reconciliation of Net Increase in Net
Assets Resulting from Operations to
Net Cash Flows (Including Foreign
Currency) Provided by Operating Activities
Net increase in net assets resulting from operations ...... $ 7,374,403
------------
Decrease in investments ...................................... 26,793,268
Net realized gain on investment transactions ................. (13,708,368)
Net realized and unrealized foreign exchange loss ............ 6,530,044
Decrease in unrealized appreciation on
investments ................................................ 16,869,501
Decrease in deposits with brokers as
collateral for investments sold short ...................... 32,498,044
Increase in interest receivable .............................. (2,180,303)
Increase in receivable for investments sold .................. (2,224,010)
Decrease in receivable for forward
currency contracts ......................................... 2,898,829
Increase in variation margin receivable ...................... (20,186)
Decrease in other assets ..................................... 15,699
Decrease in payable for investments purchased ................ (4,091,025)
Increase in dollar roll payable .............................. 12,927,150
Increase in depreciation on mortgage swap .................... 1,137,400
Decrease in payable for securities sold short ................ (27,819,493)
Decrease in interest payable ................................. (683,960)
Decrease in payable for call options ......................... (214,360)
Increase in payable for forward currency contracts ........... 181,201
Decrease in accrued expenses and other liabilities ........... (95,095)
------------
Total adjustments .......................................... 48,814,336
------------
Net cash flows provided by operating activities .............. $ 56,188,739
============
Right Col.
- --------------------------------------------------------------------------------
The BlackRock North American
Government Income Trust Inc.
Statements of Changes
in Net Assets
(Unaudited)
- --------------------------------------------------------------------------------
Increase (Decrease) Six Months Year
in Net Assets Ended Ended
April 30, October 31,
1996 1995
---- ----
Operations:
Net investment income ....................... $ 17,065,580 $ 32,154,387
Net realized loss on investments,
futures, short sales and foreign
currency transactions ..................... (1,195,896) (14,375,527)
Net change in unrealized
appreciation/depreciation
on investments, futures, short
sales, options and foreign
currency .................................. (8,495,281) 64,068,308
------------ ------------
Net increase in net
assets resulting from
operations ................................ 7,374,403 81,847,168
Dividends and distributions:
Dividends from net investment
income .................................... (5,802,045) -
Distributions in excess
of net investment income .................. -
Return of capital distributions ............. (10,875,627) (35,301,618)
------------ ------------
Total increase (decrease) ................... (9,303,269) 46,545,550
Net Assets
Beginning of period ......................... 411,294,966 364,749,416
------------ ------------
End of period ............................... $401,991,697 $411,294,966
============ ============
See Notes to Financial Statements.
9
<PAGE>
- --------------------------------------------------------------------------------
The BlackRock North American Government Income Trust Inc.
Financial Highlights
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Year Ended October 31, December 27, 1991*
Ended ------------------------- Through
April 30, 1996 1995 1994 1993 October 31, 1992
-------------- ---- ---- ---- ----------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period ....................... $ 11.36 $ 10.07 $ 12.34 $ 13.13 $ 14.10
-------- -------- -------- -------- --------
Net investment income (net of interest expense of $.15,
$.35, $.26, $.20, and $.14, respectively) .............. .47 .89 1.09 1.21 1.03
Net realized and unrealized gain (loss) on investments and
foreign currency transactions .......................... (.27) 1.37 (2.28) (.80) (.99)
-------- -------- -------- -------- --------
Net increase (decrease) from investment operations ......... .20 2.26 (1.19) .41 .04
-------- -------- -------- -------- --------
Less dividends and distributions:
Dividends from net investment income ..................... (.46) - (1.03) (1.20) (.98)
Return of capital distributions .......................... - (.97) (.05) - -
-------- -------- -------- -------- --------
Total dividends and distributions ...................... (.46) (.97) (1.08) (1.20) (.98)
-------- -------- -------- -------- --------
Capital charge with respect to issuance of shares .......... - - - - (.03)
-------- -------- -------- -------- --------
Net asset value, end of period** ........................... $ 11.10 $ 11.36 $ 10.07 $ 12.34 $ 13.13#
-------- -------- -------- -------- --------
Per share market value, end of period** .................... $ 9-1/2 $ 10-1/8 $ 9-1/8 $ 12-7/8 $ 13-1/2
======== ======== ======== ========
TOTAL INVESTMENT RETURN+ ................................... (1.64%) 22.88% (21.62%) 4.68% 2.40%
RATIOS TO AVERAGE NET ASSETS:
Operating expenses (a) ..................................... .97%+++ .96% 1.01% .98% .90%+++
Net investment income ...................................... 8.41%+++ 8.58% 9.92% 9.72% 9.09%+++
SUPPLEMENTAL DATA:
Average net assets (in thousands) .......................... $407,938 $374,975 $397,651 $452,740 $482,326
Portfolio turnover ......................................... 62% 78% 70% 155% 314%
Net assets, end of period (in thousands) ................... $401,992 $411,295 $364,749 $446,614 $475,220
Reverse repurchase agreements outstanding,
end of period (in thousands) ............................. $168,731 $202,703 $142,450 $201,122 $219,362
Asset coverage++ ........................................... $ 3,382 $ 3,028 $ 3,561 $ 3,221 $ 3,166
<FN>
- ---------------
* Commencement of investment operations.
** NAV and market value published in The Wall Street Journal each Monday.
# Net asset value immediately after closing of first public offering was
$14.07.
(a) The ratios of operating expenses including interest expense to average net
assets were 3.58%, 4.34%, 3.36%, 2.55% and 2.11% for the periods indicated
above, respectively.
+ Total investment return is calculated assuming a purchase of common stock 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
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
periods of less than one full year are not annualized.
++ Per $1,000 of reverse repurchase agreement outstanding.
+++ Annualized.
The information above represents the unaudited operating performance for a share
of common stock outstanding, total investment return, ratios to average net
assets and other supplemental data, for each of the periods indicated. This
information has been determined based upon financial information provided in the
financial statements and market value data for the Trust's shares.
</FN>
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
Left Col.
- --------------------------------------------------------------------------------
The BlackRock North American
Government Income Trust Inc.
Notes to Financial Statements
(Unaudited)
- --------------------------------------------------------------------------------
Note 1. Accounting
Policies
The BlackRock North American Government Income Trust Inc., (the "Trust"), a
Maryland corporation, is a non-diversified, closed-end management investment
company. The investment objective of the Trust is to achieve high monthly income
consistent with preservation of capital. The ability of issuers of debt
securities held by the Trust to meet their obligations may be affected by
economic developments in a specific country, industry or region. No assurance
can be given that the Trust's investment objective will be achieved.
The following is a summary of significant accounting policies followed by
the Trust.
Basis of Presentation: The financial statements of the Trust are prepared in
accordance with United States generally accepted accounting principles using the
United States dollar as both the functional and reporting currency.
Securities Valuation: In valuing the Trust's assets, quotations of foreign
securities in a foreign currency are converted to U.S. dollar equivalents at the
then current currency value. The Trust values mortgage-backed, asset-backed and
other debt securities on the basis of current market quotations provided by
dealers or pricing services approved by the Trust's Board of Directors. 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 the 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 unless the Trust's Board of
Directors determines that such price does not reflect its fair value, in which
case it will be valued at its fair value as determined by the Trust's Board of
Directors. Any 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 the Trust's Board of Directors.
Right Col.
Short-term securities which mature in more than 60 days are valued at current
market quotations. Short-term securities which mature in 60 days or less are
valued at amortized cost, if their term to maturity from date of purchase was 60
days or less, or by amortizing their value on the 61st day prior to maturity, if
their original term to maturity from date of purchase exceeded 60 days.
In connection with transactions in repurchase agreements, the 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 the
Trust may be delayed or limited.
Option Selling/Purchasing: When the Trust sells 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 the Trust
has realized a gain or a loss on investment transactions. The 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 Trust, 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 selling and purchasing is used by the Trust to effectively "hedge" more
volatile positions so that changes in interest rates do not change the duration
of the portfolio unexpectedly. In general, the Trust uses options to hedge a
long or short position or an overall portfolio that is longer or
11
<PAGE>
Left Col.
shorter than the benchmark security. 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 options can be purchased to effectively hedge a position or a
portfolio against price declines if a portfolio is long. In the same sense, call
options can be purchased to hedge a portfolio that is shorter than its benchmark
against price changes. The Trust can also sell (or write) covered call options
and put options to hedge portfolio positions.
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 the Trust may forego 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 the 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.
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 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, the 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.
Financial futures contracts, when used by the Trust, 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. Futures
contracts can be sold to effectively shorten an otherwise longer duration
portfolio. In the same sense, futures contracts can be purchased to
Right Col.
lengthen a portfolio that is shorter than its duration target. Thus, by buying
or selling futures contracts, the Trust can effectively "hedge" more volatile
positions so that changes in interest rates do not change the duration of the
portfolio unexpectedly.
The Trust may invest in financial futures contracts primarily for the purpose
of hedging its existing portfolio securities or securities the Trust intends to
purchase against fluctuations in value caused by changes in prevailing market
interest rates. Should interest rates move unexpectedly, the Trust may not
achieve the anticipated benefits of the financial futures contracts and may
realize a loss. The use of futures transactions involves the risk of imperfect
correlation in movements in the price of futures contracts, interest rates and
the underlying hedged assets. The Trust is also at risk of not being able to
enter into a closing transaction for the futures contract because of an illiquid
secondary market. In addition, since futures are used to shorten or lengthen a
portfolio's duration, there is a risk that the portfolio may have temporarily
performed better without the hedge or that the Trust may lose the opportunity to
realize appreciation in the market price of the underlying positions.
Forward Currency Contracts: The Trust enters into forward currency contracts
primarily to facilitate settlement of purchases and sales of foreign securities.
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 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 Trust, help to manage the overall
exposure to the foreign currency backing many of the investments held by the
Trust (The Canadian dollar). Forward currency contracts are not meant to be used
to eliminate all of the exposure to the Canadian dollar, rather they allow the
Trust to limit its exposure to foreign currency within a narrow band to the
objectives of the Fund.
Foreign Currency Translation: Canadian dollar ("C$") amounts are translated into
United States dollars on the following basis:
(i) market value of investment securities, other assets and liabilities-at
the New York City noon 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.
12
<PAGE>
Left Col.
The Trust isolates 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 year end. Similarly, the
Trust isolates 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 losses of $6,499,178 include
realized foreign exchange gains and losses from sales and maturities of
portfolio securities, maturities of 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 Trust's books and the US 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 Canadian dollar relative to the U.S.
dollar.
The exchange rate for the Canadian dollar at April 30, 1996 was US$0.7345 to
C$1.00.
Short Sales: The Trust may make short sales of securities as a method of hedging
potential price declines in similar securities owned. When the 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 Trust 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 Trust may lend its portfolio securities to qualified
institutions. The loans are secured by least equal, at all times, to the market
value of the securities loaned. The Trust 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 Trust receives compensation for lending its
securities in the form of interest on the loan. The Trust also continues 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 account of the Trust.
Right Col.
Mortgage Swaps: Mortgage swaps are a variation on interest rate swaps. In a
simple 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. Rate swaps were
conceived as asset/liability management tools. In more complex swaps, the
notional principal amount may decline (or amortize) over time. Mortgage swaps
combine the fixed/floating concept with an amortizing feature that is indexed to
mortgage securities. Scheduled amortization and prepayments on the index pools
reduce the notional amount.
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, the 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.
Mortgage swaps are intended to enhance the Trust's income earning ability by
effectively owning mortgage pass-throughs and locking-in the financing rate at a
very attractive spread to market levels. This allows mortgage pass-throughs to
be held more cheaply than if they were owned outright and financed, but at a
decreased level of liquidity.
The Trust is exposed to credit loss in the event of non-performance by the
other party to the mortgage swap. However, the Trust does not anticipate
non-performance by any counterparty.
Securities Transactions and Investment Income: Security transactions are
recorded on the trade date. Realized and unrealized gains and losses are
calculated on the identified cost basis. Interest income is recorded on the
accrual basis, and the Trust accretes discount or amortizes premium on
securities purchased using the interest method.
Taxes: For Federal income tax purposes, substantially all of the Trust's
Canadian transactions are accounted for using the Canadian dollar as the
functional currency. Accordingly, only realized currency gains and losses
resulting from the repatriation of Canadian dollars into United States dollars
are recognized for tax purposes.
No provision has been made for United States income or excise taxes because it
is the Trust's policy to continue to meet the requirements of the United States
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income to shareholders.
Dividends and Distributions: The Trust declares and pays dividends and
distributions monthly from net investment
13
<PAGE>
Left Col.
income, realized short-term capital gains and other sources, if necessary. Net
long-term capital gains, if any, in excess of loss carryforwards 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 generally accepted
accounting principles.
Reclassification of Capital Accounts: The Trust accounts for and reports
distributions to shareholders in accordance with the American Institute of
Certified Public Accountants' Statement of Position 93-2: Determination,
Disclosure, and Financial Statement Presentation of Income, Capital Gain and
Return of Capital Distributions by Investment Companies. For the six months
ended April 30, 1996 the Trust increased distributions in excess of net
investment income by $11,263,535, decreased accumulated net realized losses on
investments by $131,521 and decreased accumulated net realized and unrealized
foreign currency losses by $11,132,014 for realized foreign currency losses
incurred during the six months ended April 30, 1996. Net investment income, net
realized gains and net assets were not affected by this change.
Deferred Organization Expenses: A total of $70,000 was incurred in connection
with the organization of the Trust. These costs have been deferred and are being
amortized ratably over a period of sixty months from the date the Trust
commenced investment operations.
Note 2. Agreements
The Trust has an Investment Advisory Agreement with BlackRock Financial
Management, Inc. (the "Adviser") and an Administration Agreement with Prudential
Mutual Fund Management, Inc. ("PMF"), an indirect, wholly-owned subsidiary of
The Prudential Insurance Co. of America.
The investment advisory fee paid to the Adviser is computed weekly and payable
monthly at an annual rate of 0.60% of the Trust's average weekly net assets. The
administration fee paid to PMF is also computed weekly and payable monthly at an
annual rate of 0.10% of the Trust's average weekly net assets.
Pursuant to the agreements, the Adviser provides continuous supervision of the
investment portfolio and pays the compensation of officers of the Trust. PMF
pays for occupancy and provides certain clerical and accounting services to the
Trust. The Trust bears all other costs and expenses.
Note 3. Portfolio
Securities And
Other Investments
Purchases and sales of investment securities, other than short-term investments,
for the six months ended April 30, 1996 aggregated $363,900,727 and
$388,891,809, respectively.
Right Col.
The Trust may invest without limit in securities which are not readily
marketable, including those which are restricted as to disposition under
securities law ("restricted securities") although the Trust does not expect that
such investments will generally exceed 5% of its portfolio assets. At April 30,
1996, the Trust held no illiquid or restricted securities.
The United States federal income tax basis of the Trust's investments at April
30, 1996 was $568,371,716, and accordingly, net unrealized appreciation for
federal income tax purposes was $4,352,096 (gross unrealized appreciation-
$14,594,160; gross unrealized depreciation-$10,242,064).
For federal income tax purposes, the Trust had a capital loss carryforward as
of October 31, 1995 of approximately $57,254,200 of which approximately
$7,191,000 will expire in 2000, approximately $11,408,000 will expire in 2001,
approximately $32,751,000 will expire in 2002 and approximately $5,904,200 will
expire in 2003. Accordingly, no capital gains distribution is expected to be
paid to shareholders until net gains have been realized in excess of such
amounts.
Details of open financial futures contracts at April 30, 1996 are as follows:
<TABLE>
<CAPTION>
Value at Value at Unrealized
Number of Expiration Trade April 30, Appreciation/
Contracts Type Date Date 1996 (Depreciation)
--------- ---- ---------- -------- ----------- --------------
<S> <C> <C> <C> <C> <C>
Short positions:
72 10 Yr. U.S.
T-Bond June '96 $ 8,047,908 $ 7,859,250 $ 188,658
848 10 Yr. U.S.
T-Note June '96 93,368,472 91,160,000 2,208,472
------------ ------------ ----------
$101,416,360 $ 99,019,250 $2,397,130
============ ============ ==========
Long positions:
295 10 Yr. Canada
T-Bond June '96 $ 23,316,202 $ 23,233,823 $ (82,379)
80 Muni
Bond Index June '96 8,970,380 8,900,000 (70,380)
------------ ------------ ----------
$ 32,286,582 $ 32,133,823 $ (152,759)
============ ============ ==========
</TABLE>
Details of open forward currency purchase contracts at April 30, 1996 are as
follows:
Value at Value at
Settlement Contract Settlement April 30, Unrealized
Date to Receive Date 1996 Depreciation
---- ---------- ---- ---- ------------
05/22/96 $298,000,000 $145,663,320 $145,482,119 $ (181,201)
============ ============ ==========
The Trust entered into a FNMA mortgage swap with a notional amount of $150
million. Under the agreement, the Trust receives a fixed rate and pays a
floating rate. The FNMA mortgage swap settled on November 26, 1993. Details of
the swap are as follows:
Current
Notional
Amount Fixed Termination Unrealized
(000) Type Rate Floating Rate Date Depreciation
- -------- ---- ---- ------------------------------ -------- ----------
$101,924 FNMA 8% 1-mo. LIBOR minus 20 basis pts. Oct. '96 $3,758,429
14
<PAGE>
(Left column)
Note 4. Borrowings
Reverse Repurchase Agreements: The Trust enters into reverse repurchase
agreements with qualified, third party broker-dealers as determined by and under
the direction of the Trust's Board of Directors. 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 the Trust enters into a
reverse repurchase agreement, it establishes and maintains a segregated account
with the lender containing liquid high grade securities having a value not less
than the repurchase price, including accrued interest, of the reverse repurchase
agreement.
The average monthly balance of United States reverse repurchase agreements
outstanding during the six months ended April 30, 1996 was approximately
$75,824,300 at a weighted average interest rate of approximately 5.63%. Also,
the average monthly balance of Canadian reverse repurchase agreements
outstanding during the six months ended April 30, 1996 was approximately
C$151,312,000, at a weighted average interest rate of approximately 5.67% . The
maximum amount of United States reverse repurchase agreements outstanding at any
month-end during the year was $173,132,059 as of February 29, 1996, which was
29.6% of total assets. The maximum amount of Canadian reverse repurchase
agreements outstanding at any month-end during the period was approximately
C$234,897,000 as of March 31, 1996, which was 27.7% of total assets.
(Right column)
Dollar Rolls: The Trust may enter into dollar rolls in which the 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 Trust forgoes principal and
interest paid on the securities. The Trust is compensated by the interest earned
on the cash proceeds of the initial sale and by the lower repurchase price at
the future date.
The average monthly balance of dollar rolls outstanding during the six
months ended April 30, 1996 was approximately $4,331,600. The maximum amount of
dollar rolls outstanding at any month-end during the period was $12,959,028 as
of April 30, 1996, which was 2.2% of total assets.
Note 5. Capital
There are 200 million shares of $.01 par value common stock authorized. Of the
36,207,093 shares outstanding at October 31, 1995, the Adviser owned 7,093
shares.
Note 6. Distributions
Subsequent to April 30, 1996, the Board of Directors of the Trust declared
non-taxable return of capital distributions of $0.07 per share payable May 31,
1996 to shareholders of record on May 15, 1996.
Note 7. Quarterly Data
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and
unrealized
gain (loss) on
investments, Net increase
short sales, (decrease)
futures and in net assets Dividends
Net investment options resulting from and
income written operations distributions Period end
Quarterly Total Per Per Per Per Share price net asset
period income Amount share Amount share Amount share Amount share High Low value
- --------- ----------- ----------- ----- ----------- ----- ----------- ----- ----------- ------ ------- ------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
November 1, 1993
to January 31, 1994 $11,023,484 $ 9,961,355 $ .28 $ 8,551,846 $ .24 $18,513,201 $ .52 $10,183,245 $.2813 $12-7/8 $11-1/2 $12.56
February 1, 1994
to April 30, 1994 12,992,331 12,019,388 .33 (74,815,211)(2.07)(62,795,823)(1.74) 9,730,656 .2687 12-3/8 9-7/8 10.56
May 1, 1994
to July 31, 1994 10,452,365 9,512,328 .26 (24,965,349) (.69)(15,453,021) (.43) 9,504,225 .2625 10-3/8 9-1/4 9.86
August 1, 1994
to October 31, 1994 8,993,160 7,964,969 .22 8,827,946 .24 16,792,915 .46 9,504,225 .2625 10-3/4 9 10.07
November 1, 1994
to January 31, 1995 10,026,608 9,169,699 .25 (20,198,506) (.55)(11,028,807) (.30) 9,504,225 .2625 9-1/8 8-3/8 9.51
February 1, 1995
to April 30, 1995 8,669,818 7,823,263 .22 42,296,756 1.17 50,120,019 1.39 8,825,494 .2437 9-3/4 9 10.65
May 1, 1995
to July 31, 1995 8,581,066 7,658,911 .21 (5,073,249) (.14) 2,585,662 .07 8,485,949 .2344 10 9-3/8 10.48
August 1, 1995
to October 31, 1995 8,476,486 7,502,514 .21 32,667,780 .89 40,170,294 1.10 8,485,950 .2344 10-3/8 9-3/8 11.36
November 1, 1995
to January 31, 1996 9,485,156 8,494,492 .23 3,322,104 .09 11,816,596 .32 8,485,950 .2344 10-1/8 9-3/8 11.45
February 1, 1996
to April 30, 1996 9,550,552 8,571,088 .24 (13,013,281) (.36) (4,442,193) (.12) 8,191,722 .2263 10-3/8 9-3/8 11.10
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
15
<PAGE>
- --------------------------------------------------------------------------------
THE BLACKROCK NORTH AMERICAN GOVERNMENT INCOME TRUST INC.
DIVIDEND REINVESTMENT PLAN
- --------------------------------------------------------------------------------
Pursuant to the Trust's Dividend Reinvestment Plan (the "Plan"),
shareholders may elect to have all distributions of dividends and capital gains
automatically reinvested by Boston EquiServe L.P. (the "Plan Agent") in Trust
shares pursuant to the Plan. Shareholders who do not participate in the Plan
will receive all distributions in cash paid by check in United States dollars
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 custodian, as dividend
disbursing agent.
The Plan Agent serves as agent for the shareholders in administering the
Plan. After the Trust declares a dividend or determines to make a capital gain
distribution, the Plan Agent will, as agent for the participants, receive the
cash payment and use it to buy Trust shares in the open market, on the New York
Stock Exchange or elsewhere, for the participants' accounts. The Trust will not
issue shares under the Plan.
Participants in the Plan may withdraw from the Plan upon written notice to
the Plan Agent and will receive certificates for whole Trust shares and a cash
payment will be made for any fraction of a Trust share.
The Plan Agent's fees for the handling of the reinvestment of dividends and
distributions will be paid by the 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 dividend or distributions.
Experience under the Plan may indicate that changes are desirable.
Accordingly, the Trust reserves the right to amend or terminate the Plan as
applied to any dividend or distribution paid subsequent to written notice of the
change sent to all shareholders of the Trust at least 90 days before the record
date for the dividend or distribution. The Plan also may be amended or
terminated by the Plan Agent upon at least 90 days' written notice to all
shareholders of the Trust. All correspondence concerning the Plan should be
directed to the Plan Agent at (800) 699-1BFM or BlackRock Financial Management
at (800) 227-7BFM. The addresses are on the front of this report.
- --------------------------------------------------------------------------------
ADDITIONAL INFORMATION
- --------------------------------------------------------------------------------
There have been no material changes in the Trust's investment objectives or
policies that have not been approved by the shareholders or to its charter or
by-laws or in the principal risk factors associated with investment in the
Trust. There have been no changes in the persons who are primarily responsible
for the day-to-day management of the Trust's portfolio.
The Annual Meeting of Trust Shareholders was held May 8, 1996 to vote on the
following matters:
(1) To elect three Directors as follows:
Director Class Term Expiring
-------- ----- ---- --------
Richard E. Cavanagh ............ I 3 years 1999
James Grosfeld ................. I 3 years 1999
James Clayburn LaForce, Jr. .... I 3 years 1999
Directors whose term of office continues beyond this meeting are Andrew
F. Brimmer, Kent Dixon, Frank J. Fabozzi, Laurence D. Fink, and Ralph L.
Schlosstein.
(2) To ratify the selection of Deloitte & Touche LLP as independent public
accountants of the Trust for the fiscal year ending October 31, 1996.
(3) To broaden the investment objecitve to permit investment in securities
rated investment grade by a nationally recognized statistical rating
organization while maintaining the investment objective to achieve high
monthly income consistent with the preservation of capital.
Shareholders elected the three Directors, ratified the selection of
Deloitte & Touche LLP and broadened the investment objective. The
results of the voting was as follows:
Votes for Votes Against Abstentions
--------- ------------- -----------
Richard E. Cavanagh ........... 22,067,051 0 797,874
James Grosfeld ................ 22,063,565 0 801,360
James Clayburn LaForce, Jr. ... 22,062,257 0 802,668
Ratification of
Deloitte & Touche LLP ....... 21,900,317 404,536 560,071
Investment objective .......... 15,508,755 825,712 1,075,186
16
<PAGE>
- --------------------------------------------------------------------------------
THE BLACKROCK NORTH AMERICAN GOVERNMENT INCOME TRUST INC.
INVESTMENT SUMMARY
- --------------------------------------------------------------------------------
The Trust's Investment Objective
The Trust's investment objective is to manage a portfolio of high grade
securities to achieve high monthly income consistent with preservation of
capital. The Trust will seek to achieve its objective by investing in Canadian
and U.S. dollar-denominated securities.
Who Manages the Trust?
BlackRock Financial Management, Inc. ("BlackRock") is the investment adviser for
the Trust. BlackRock is a registered investment adviser specializing in fixed
income securities. Currently, BlackRock manages over $41 billion of assets
across the government, mortgage, corporate and municipal sectors. These assets
are managed on behalf of institutional and individual investors in 21 closed-end
funds traded on either the New York or American stock exchanges, several
open-end funds and separate accounts for more than 80 clients in the U.S. and
overseas. BlackRock is a subsidiary of PNC Asset Management Group which is a
division of PNC Bank, one of the nation's largest banking organizations.
What Can the Trust Invest In?
The Trust will invest primarily in securities issued or guaranteed by the
federal governments of Canada and the United States, their political
subdivisions (which include the Canadian provinces) and their agencies and
instrumentalities. The Trust's investments will be either government securities
or securities rated "BBB" or higher at the time of investment by Standard &
Poor's or "A2" by Moody's, or securities which BlackRock deems as of comparable
quality. Under current market conditions, it is expected that the percentage of
the Trust's assets invested in Canadian dollar-denominated securities will be
between 65% and 80%. Examples of types of securities in which the Trust may
invest include Canadian and U.S. government or government agency residential
mortgage-backed securities, privately issued mortgage-backed securities,
Canadian provincial debt securities, U.S. Government securities, commercial
mortgage-backed securities, asset-backed securities and other debt securities
issued by Canadian and U.S. corporations and other entities. Under current
market conditions, BlackRock expects that the primary investments of the Trust
to be Canadian mortgage-backed securities, Canadian provincial debt securities,
U.S. government securities, securities backed by U.S. government agencies (such
as residential mortgage-backed securities), privately issued mortgage-backed
securities and commercial mortgage-backed securities.
What is the Adviser's Investment Strategy?
The Adviser will seek to meet the Trust's investment objective by managing the
assets of the Trust so as to provide high monthly income consistent with the
preservation of capital. The Trust will seek to provide monthly income that is
greater than that which could be obtained by investing in U.S. Treasury
securities with an average life similar to that of the Trust's assets. In
seeking the investment objective, BlackRock actively manages the Trust's assets
in relation to market conditions and changes in general economic conditions in
Canada and the U.S., including its expectations regarding interest rate changes
and changes in currency exchange rates between the U.S. dollar and the Canadian
dollar, to attempt to take advantage of favorable investment opportunities in
each country. As such, the allocation between Canadian and U.S. securities will
change from time to time. Under current market conditions, the average life of
the Trust's assets is expected to be in the range of seven to ten years. Under
other market conditions, the Trust's average life may vary and may not be
predictable using any formula.
While the Adviser has the opportunity to hedge against currency risks associated
with Canadian securities, the Trust is intended to provide exposure to the
Canadian marketplace. As a result, historically, currency hedging has not been
widely practiced by the Trust. However, BlackRock will attempt to limit interest
rate risk by constantly monitoring the duration (or price sensitivity with
respect to changes in interest rates) of the Trust's assets so that it is within
the range of U.S. Treasury securities with average lives of seven to ten years.
In doing so, the Adviser will attempt to locate securities with better
predictability of cash flows such as U.S. commercial mortgage-backed securities.
In addition, the Canadian mortgage-backed securities in which the Trust invests
are not prepayable, contributing to the predictability of the Trust's cash
flows. Traditional residential U.S. mortgage pass-through securities make
interest and principal payments on a monthly basis and can be a source of
attractive levels of income to the Trust. While the U.S. mortgage-backed
securities in the Trust are of high credit quality, they typically offer a yield
spread over Treasuries due to the uncertainty of the timing of their cash flows
as they are subject to prepayment exposure when interest rates change and
mortgage holders refinance their mortgages or move. While U.S. mortgage-backed
securities do offer the opportunity for attractive yields, they subject a
portfolio to interest rate risk and prepayment exposure which result in
reinvestment risk when prepaid principal must be reinvested.
17
<PAGE>
How Are the Trust's Shares Purchased and Sold? Does the Trust Pay Dividends
Regularly?
The Trust's shares are traded on the New York Stock Exchange which provides
investors with liquidity on a daily basis. Orders to buy or sell shares of the
Trust must be placed through a registered broker or financial advisor. The Trust
pays monthly dividends which are typically paid on the last business day of the
month. For shares held in the shareholder's name, dividends may be reinvested in
additional shares of the Trust through the Trust's transfer agent, Boston
EquiServe L.P. Investors who wish to hold shares in a brokerage account should
check with their financial advisor to determine whether their brokerage firm
offers dividend reinvestment services.
Leverage Considerations in the Trust
Under current market conditions, leverage increases the income earned by the
Trust. The Trust employs leverage primarily through the use of reverse
repurchase agreements and dollar rolls. Leverage permits the Trust to borrow
money at short-term rates and reinvest that money in longer-term assets which
typically offer higher interest rates. The difference between the cost of the
borrowed funds and the income earned on the proceeds that are invested in longer
term assets is the benefit to the Trust from leverage. In general, the portfolio
is typically leveraged at approximately 33-1/3% of total assets.
Leverage also increases the duration (or price volatility of the net assets) of
the Trust, which can improve the performance of the fund in a declining rate
environment, but can cause net assets to decline faster than the market in a
rapidly rising rate environment. BlackRock's portfolio managers continuously
monitor and regularly review the Trust's use of leverage and the Trust may
reduce, or unwind, the amount of leverage employed should BlackRock consider
that reduction to be in the best interest of shareholders.
Special Considerations and Risk Factors Relevant to the Trust
The Trust is intended to be a long-term investment and is not a short-term
trading vehicle.
Investment Objective. Although the objective of the Trust is to provide high
monthly income consistent with preservation of capital, there can be no
assurance that this objective will be achieved.
Dividend Considerations. The income and dividends paid by the Trust are likely
to vary over time as fixed income market conditions change. Future dividends may
be higher or lower than the dividend the Trust is currently paying.
Currency Exchange Rate Considerations. Because the Trust's net asset value is
expressed in U.S. dollars, and the Trust invests a substantial percentage of its
assets in Canadian dollar-denominated assets, any change in the exchange rate
between these two currencies will have an effect on the net asset value of the
Trust. As a result, if the U.S. dollar appreciates against the Canadian dollar,
the Trust's net asset value would decrease if not offset by other gains.
Leverage. The Trust utilizes leverage through reverse repurchase agreements and
dollar rolls, which involves special risks. The Trust's net asset value and
market value may be more volatile due to its use of leverage.
Market Price of Shares. The shares of closed-end investment companies such as
the Trust trade on the New York Stock Exchange (NYSE symbol: BNA) and as such
are subject to supply and demand influences. As a result, shares may trade at a
discount or a premium to their net asset value.
Mortgage-Backed and Asset-Backed Securities. The cash flow and yield
characteristics of these securities differ from traditional debt securities. The
major differences typically include more frequent payments and the possibility
of prepayments on certain U.S. mortgage-backed securities which will change the
yield to maturity of the security.
Illiquid Securities. The Trust may invest in securities that are illiquid,
although under current market conditions the Trust expects to do so to only a
limited extent. These securities involve special risks.
Non-U.S. Securities. The Trust may invest a portion of its assets in non-U.S.
dollar-denominated securities which involve special risks such as currency,
political and economic risks, although under current market conditions does not
do so.
Antitakeover Provisions. Certain antitakeover provisions will make a change in
the Trust's business or management more difficult without the approval of the
Trust's Board of Directors and may have the effect of depriving shareholders of
an opportunity to sell their shares at a premium above the prevailing market
price.
18
<PAGE>
- --------------------------------------------------------------------------------
THE BLACKROCK NORTH AMERICAN GOVERNMENT INCOME TRUST INC.
GLOSSARY
- --------------------------------------------------------------------------------
Adjustable Rate Mortgage-Backed Mortgage instruments with interest rates that
Securities (ARMs): adjust at periodic intervals at a fixed amount
over the market levels of interest rates as
reflected in specified indexes. ARMS are
backed by mortgage loans secured by real
property.
Asset-Backed Securities: Securities backed by various types of
receivables such as automobile and credit card
receivables.
Canadian Mortgage Securities: Canadian Mortgage instruments which are
guaranteed by the Canadian Mortgage Housing
Corporation (CMHC), a federal agency backed by
the full faith and credit of the Canadian
Government.
Closed-End Fund: Investment vehicle which initially offers a
fixed number of shares and trades on a stock
exchange. The fund invests in a portfolio of
securities in accordance with its stated
investment objectives and policies.
Collateralized Mortgage-backed securities which separate
Mortgage Obligations (CMOs): mortgage pools into short-, medium-, and
long-term securities with different priorities
for receipt of principal and interest. Each
class is paid a fixed or floating rate of
interest at regular intervals. Also known as
multiple-class mortgage pass-throughs.
Discount: When a fund's net asset value is greater than
its stock price the fund is said to be trading
at a discount.
Dividend: This is income generated by securities in a
portfolio and distributed to shareholders
after the deduction of expenses. This Trust
declares and pays dividends on a monthly
basis.
Dividend Reinvestment: Shareholders may elect to have all
distributions of dividends and capital gains
automatically reinvested into additional
shares of the Trust.
FHA: Federal Housing Administration, a government
agency that facilitates a secondary mortgage
market by providing an agency that guarantees
timely payment of interest and principal on
mortgages.
FHLMC: Federal Home Loan Mortgage Corporation, a
publicly owned, federally chartered
corporation that facilitates a secondary
mortgage market by purchasing mortgages from
lenders such as savings institutions and
reselling them to investors by means of
mortgage-backed securities. Obligations of
FHLMC are not guaranteed by the U.S.
government, however; they are backed by
FHLMC's authority to borrow from the U.S.
government. Also known as Freddie Mac.
FNMA: Federal National Mortgage Association, a
publicly owned, federally chartered
corporation that facilitates a secondary
mortgage market by purchasing mortgages from
lenders such as savings institutions and
reselling them to investors by means of
mortgage-backed securities. Obligations of
FNMA are not guaranteed by the U.S.
government, however; they are backed by FNMA's
authority to borrow from the U.S. government.
Also known as Fannie Mae.
GNMA: Government National Mortgage Association, a
government agency that facilitates a secondary
mortgage market by providing an agency that
guarantees timely payment of interest and
principal on mortgages. GNMA's obligations are
supported by the full faith and credit of the
U.S. Treasury. Also known as Ginnie Mae.
19
<PAGE>
Government Securities: Securities issued or guaranteed by the U.S.
government, or one of its agencies or
instrumentalities, such as GNMA (Government
National Mortgage Association), FNMA (Federal
National Mortgage Association) and FHLMC
(Federal Home Loan Mortgage Corporation).
Interest-Only Securities (I/O): Mortgage securities that receive only the
interest cash flows from an underlying pool of
mortgage loans or underlying pass-through
securities. Also known as a STRIP.
Market Price: Price per share of a security trading in the
secondary market. For a closed-end fund, this
is the price at which one share of the fund
trades on the stock exchange. If you were to
buy or sell shares, you would pay or receive
the market price.
Mortgage Dollar Rolls: A mortgage dollar roll is a transaction in
which the Trust sells mortgage-backed
securities for delivery in the current month
and simultaneously contracts to repurchase
substantially similar (although not the same)
securities on a specified future date. During
the "roll" period, the Trust does not receive
principal and interest payments on the
securities, but is compensated for giving up
these payments by the difference in the current
sales price (for which the security is sold)
and lower price that the Trust pays for the
similar security at the end date as well as the
interest earned on the cash proceeds of the
initial sale.
Mortgage Pass-Throughs: Mortgage-backed securities issued by Fannie
Mae, Freddie Mac or Ginnie Mae.
Multiple-Class Pass-Throughs: Collateralized Mortgage Obligations.
Net Asset Value (NAV): Net asset value is the total market value of
all securities and other assets held by the
Trust, plus income accrued on its investments,
minus any liabilities including accrued
expenses, divided by the total number of
outstanding shares. It is the underlying value
of a single share on a given day. Net asset
value for the Trust is calculated weekly and
published in Barron's on Saturday and The Wall
Street Journal each Monday.
Principal-Only Securities (P/O): Mortgage securities that receive only the
principal cash flows from an underlying pool of
mortgage loans or underlying pass-through
securities. Also known as a STRIP.
Project Loans: Mortgages for multi-family, low- to
middle-income housing.
Premium: When a fund's stock price is greater than its
net asset value, the fund is said to be trading
at a premium.
Residuals: Securities issued in connection with
collateralized mortgage obligations that
generally represent the excess cash flow from
the mortgage assets underlying the CMO after
payment of principal and interest on the other
CMO securities and related administrative
expenses.
Reverse Repurchase Agreements: In a reverse repurchase agreement, the Trust
sells securities and agrees to repurchase them
at a mutually agreed date and price. During
this time, the Trust continues to receive the
principal and interest payments from that
security. At the end of the term, the Trust
receives the same securities that were sold for
the same initial dollar amount plus interest on
the cash proceeds of the initial sale.
Stripped Mortgage Arrangements in which a pool of assets is
Backed Securities: separated into two classes that receive
different proportions of the interest and
principal distribution from underlying
mortgage-backed securities. IO's and PO's are
examples of STRIPS.
20
<PAGE>
- --------------------------------------------------------------------------------
BLACKROCK FINANCIAL MANAGEMENT, INC.
SUMMARY OF CLOSED-END FUNDS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Taxable Trusts
- --------------------------------------------------------------------------------------------------
Stock Maturity
Perpetual Trusts Symbol Date
------ --------
The BlackRock Income Trust Inc. BKT N/A
The BlackRock North American Government Income Trust Inc. BNA N/A
Term Trusts
The BlackRock 1998 Term Trust Inc. BBT 12/98
The BlackRock 1999 Term Trust Inc. BNN 12/99
The BlackRock Target Term Trust Inc. BTT 12/00
The BlackRock 2001 Term Trust Inc. BLK 06/01
The BlackRock Strategic Term Trust Inc. BGT 12/02
The BlackRock Investment Quality Term Trust Inc. BQT 12/04
The BlackRock Advantage Term Trust Inc. BAT 12/05
The BlackRock Broad Investment Grade 2009 Term Trust Inc. BCT 12/09
Tax-Exempt Trusts
- --------------------------------------------------------------------------------------------------
Stock Maturity
Perpetual Trusts Symbol Date
------ --------
The BlackRock Investment Quality Municipal Trust Inc. BKN N/A
The BlackRock California Investment Quality Municipal Trust Inc. RAA N/A
The BlackRock Florida Investment Quality Municipal Trust RFA N/A
The BlackRock New Jersey Investment Quality Municipal Trust Inc. RNJ N/A
The BlackRock New York Investment Quality Municipal Trust Inc. RNY N/A
Term Trusts
The BlackRock Municipal Target Term Trust Inc. BMN 12/06
The BlackRock Insured Municipal 2008 Term Trust Inc. BRM 12/08
The BlackRock California Insured Municipal 2008 Term Trust Inc. BFC 12/08
The BlackRock Florida Insured Municipal 2008 Term Trust BRF 12/08
The BlackRock New York Insured Municipal 2008 Term Trust Inc. BLN 12/08
The BlackRock Insured Municipal Term Trust Inc. BMT 12/10
</TABLE>
If you would like further information
please do not hesitate to call BlackRock at (800) 227-7BFM or
consult with your financial advisor.
21
<PAGE>
- --------------------------------------------------------------------------------
BLACKROCK FINANCIAL MANAGEMENT, INC.
AN OVERVIEW
- --------------------------------------------------------------------------------
BlackRock Financial Management (BlackRock) is a registered investment
adviser which specializes in managing high quality fixed income securities, both
taxable and tax exempt. BlackRock currently manages over $41 billion of assets
across the government, mortgage, corporate and municipal sectors. These assets
are managed on behalf of many individual investors in twenty-one closed-end
funds traded on either the New York or American stock exchanges, and several
open-end funds and on behalf of more than 80 institutional clients in the United
States and overseas. BlackRock's institutional investor base includes Chrysler
Corporation Master Retirement Trust, General Retirement System of the City of
Detroit, State Treasurer of Florida, Ford Motor Company Pension Plan, General
Electric Pension Trust and Unisys Corporation Master Trust.
BlackRock was formed in April 1988 by fixed income professionals who sought
to create an asset management firm specializing in managing fixed income
securities for individuals and institutional investors. The professionals at
BlackRock have extensive experience creating, analyzing and trading a variety of
fixed income instruments, including the most complex structured securities. In
fact, individuals at BlackRock are responsible for many of the major innovations
in the mortgage-backed and asset-backed securities markets, including the
creation of the CMO, the floating rate CMO, the senior/subordinated pass-through
and the multi-class asset-backed security.
BlackRock is unique among asset management and advisory firms in the
significant emphasis it places on the development of proprietary analytical
capabilities. A quarter of the professionals at BlackRock work full-time in the
design, maintenance and use of such systems which are otherwise not generally
available to investors. BlackRock's proprietary analytical tools are used for
evaluating, investing in and designing investment strategies and portfolios of
fixed income securities, including mortgage securities, corporate debt
securities or tax-exempt securities and a variety of hedging instruments.
BlackRock has developed investment products which respond to investors'
needs and has been responsible for several major innovations in closed-end
funds. BlackRock introduced the first closed-end mortgage fund, the first
taxable and tax-exempt closed-end funds to offer a finite term, the first
closed-end fund to achieve a AAAf rating by Standard & Poor's, and the first
closed-end fund to invest primarily in North American Government securities.
BlackRock's closed-end funds currently have dividend reinvestment plans which
are designed to provide an ongoing source of demand for the stock in the
secondary market. BlackRock manages a ladder of alternative investment vehicles,
with each fund having specific investment objectives and policies.
In view of our continued desire to provide a high level of service to all
our shareholders, BlackRock maintains a toll-free number for your questions. The
number is (800) 227-7BFM (7236). We encourage you to call us with any questions
you may have about your BlackRock funds and thank you for the continued trust
you place in our abilities.
If you would like further information
please do not hesitate to call BlackRock at (800) 227-7BFM
22
<PAGE>
(Left column)
BlackRock
Directors
Laurence D. Fink, Chairman
Andrew F. Brimmer
Richard E. Cavanagh
Kent Dixon
Frank J. Fabozzi
James Grosfeld
James Clayburn La Force, Jr.
Ralph L. Schlosstein
Officers
Ralph L. Schlosstein, President
Scott Amero, Vice President
Keith T. Anderson, Vice President
Michael C. Huebsch, Vice President
Robert S. Kapito, Vice President
Richard M. Shea, Vice President/Tax
Henry Gabbay, Treasurer
James Kong, Assistant Treasurer
Kevin J. Mahoney, Assistant Treasurer
Karen H. Sabath, Secretary
Investment Adviser
BlackRock Financial Management, Inc.
345 Park Avenue
New York, NY 10154
(800) 227-7BFM
Administrator
Prudential Mutual Fund Management, Inc.
One Seaport Plaza
New York, NY 10292
Custodian
State Street Bank and Trust Company
One Heritage Drive
North Quincy, MA 02171
Transfer Agent
Boston EquiServe L.P.
150 Royall Street
Canton, MA 02021
(800) 699-1BFM
Independent Auditors
Deloitte & Touche LLP
2 World Financial Center
New York, NY 10281
Legal Counsel
Skadden, Arps, Slate, Meagher & Flom
919 Third Avenue
New York, NY 10022
The accompanying financial statement as of April 30, 1996 were not audited
and accordingly, no opinion is expressed on them.
This report is for shareholder information. This is not a prospectus intended
for use in the purchase or sale of any securities.
The BlackRock North American
Government Income Trust Inc.
c/o Prudential Mutual Fund Management, Inc.
32nd Floor
One Seaport Plaza
New York, NY 10292
(800) 227-7BFM
092475-10-2
(Right column)
The BlackRock
North American
Government Income
Trust Inc.
- -----------------
Semi-Annual Report
April 30, 1996
