<SEC-DOCUMENT>0000891092-15-006483.txt : 20150723
<SEC-HEADER>0000891092-15-006483.hdr.sgml : 20150723
<ACCEPTANCE-DATETIME>20150723160809
ACCESSION NUMBER:		0000891092-15-006483
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20150531
FILED AS OF DATE:		20150723
DATE AS OF CHANGE:		20150723
EFFECTIVENESS DATE:		20150723

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			BLACKROCK CORE BOND TRUST
		CENTRAL INDEX KEY:			0001160864
		IRS NUMBER:				522346891
		STATE OF INCORPORATION:			DE
		FISCAL YEAR END:			1031

	FILING VALUES:
		FORM TYPE:		N-Q
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-10543
		FILM NUMBER:		151002398

	BUSINESS ADDRESS:	
		STREET 1:		100 BELLEVUE PARKWAY
		STREET 2:		MUTUAL FUND DEPARTMENT
		CITY:			WILMINGTON
		STATE:			DE
		ZIP:			19809
		BUSINESS PHONE:		888-825-2257

	MAIL ADDRESS:	
		STREET 1:		100 BELLEVUE PARKWAY
		STREET 2:		MUTUAL FUND DEPARTMENT
		CITY:			WILMINGTON
		STATE:			DE
		ZIP:			19809
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-Q
<SEQUENCE>1
<FILENAME>e65189nq.htm
<DESCRIPTION>FORM N-Q
<TEXT>
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<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: center; text-indent: 0in"><FONT STYLE="font: normal 12pt Times New Roman, Times, Serif; vertical-align: baseline">UNITED
STATES</FONT></P>

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: center; text-indent: 0in"><FONT STYLE="font: normal 12pt Times New Roman, Times, Serif; vertical-align: baseline">SECURITIES
AND EXCHANGE COMMISSION </FONT></P>

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: center; text-indent: 0in"><FONT STYLE="font: normal 12pt Times New Roman, Times, Serif; vertical-align: baseline">Washington,
D.C. 20549</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0in">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0; text-align: center; text-indent: 0in"><B>FORM N-Q</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0; text-align: center; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0; text-align: center; text-indent: 0in"><B>QUARTERLY SCHEDULE OF PORTFOLIO
HOLDINGS OF REGISTERED<BR>MANAGEMENT INVESTMENT COMPANY</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center; text-indent: 0in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-align: center; text-indent: -0.5in">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">Investment Company Act file number: 811-10543</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">Name of Fund: BlackRock Core Bond
Trust (BHK)</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">Fund Address: 100 Bellevue Parkway,
Wilmington, DE 19809</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">Name and address of agent for service:
John M. Perlowski, Chief Executive Officer, BlackRock Core Bond Trust,<BR>55 East 52<SUP>nd</SUP> Street, New York, NY 10055</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">Registrant&rsquo;s telephone number,
including area code: (800) 882-0052, Option 4</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">Date of fiscal year end: 08/31/2015</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">Date of reporting period: 05/31/2015</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 10pt"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.6in; text-align: left">Item 1 &ndash;</TD><TD STYLE="text-align: justify">Schedule of Investments</TD>
</TR></TABLE>


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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">May 31, 2015 (Unaudited)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>(Percentages shown are based on Net Assets)</B></FONT></TD></TR>
</TABLE>

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<DIV STYLE="margin-right: 20pt; width: 48%; float: left;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Asset-Backed Securities</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Asset-Backed Securities&nbsp;&#8212; 14.7%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">AmeriCredit Automobile Receivables Trust, Series 2011-5, Class C, 3.44%, 10/08/17</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">658</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">663,331</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">AMMC CLO IX, Ltd., Series 2011-9A, Class D, 4.78%, 1/15/22 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000,027</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Apidos CDO, Series 2012-9AR, Class DR, 4.18%, 7/15/23 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,400</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,400,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Apidos CDO XI, Series 2012-11A, Class D, 4.52%, 1/17/23 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,200</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,200,095</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Apidos CLO XIX, Series 2014-19A, Class D, 4.02%, 10/17/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">977,600</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Ares CLO Ltd., Series 2014-32A, Class C, 4.47%, 11/15/25 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,250</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,251,562</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Ares XXIII CLO, Ltd., Series 2012-1AR (a)(b):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class CR, 3.48%, 4/19/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,000,928</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class DR, 4.43%, 4/19/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,000,073</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Atrium CDO Corp., Series 9A, Class D, 3.79%, 2/28/24 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,483,319</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Babson CLO Ltd. (a):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2012-1X, Class B, 2.78%, 4/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">990,345</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2014-3A, Class C1, 3.28%, 1/15/26 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,002,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2014-3A, Class D1, 3.78%, 1/15/26 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,432,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Battalion CLO VII Ltd., Series 2014-7A, Class C, 4.17%, 10/17/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,984,696</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Benefit Street Partners CLO III Ltd., Series 2013-IIIA, Class C, 3.53%, 1/20/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">958,298</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Benefit Street Partners CLO V Ltd., Series 2014-VA, Class C, 3.38%, 10/20/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,479,375</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Bowman Park CLO Ltd., Series 2014-1A, Class D2, 4.21%, 11/23/25 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,002,868</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Brookside Mill CLO Ltd., Series 2013-1A, Class C1, 2.97%, 4/17/25 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">978,115</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">CarMax Auto Owner Trust, Series 2012-1:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class B, 1.76%, 8/15/17</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">420</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">423,049</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class C, 2.20%, 10/16/17</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">250</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">252,595</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class D, 3.09%, 8/15/18</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">315</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">319,620</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A3, 3.03%, 10/15/25</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,210</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,300,203</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">CIFC Funding 2014-IV Ltd., Series 2014-4A, Class D, 3.67%, 10/17/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,923,097</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>

<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Asset-Backed Securities</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Asset-Backed Securities (continued)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">CIFC Funding 2014-V, Ltd., Series 2014-5A (a)(b):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class C, 3.59%, 1/17/27</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">555</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">555,202</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class D2, 4.74%, 1/17/27</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">555</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">555,478</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">CIFC Funding 2015-1, Ltd., Series 2015-1A, Class C, 3.27%, 1/22/27 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">996,089</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">CIFC Funding Ltd. (a)(b):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2012-1AR, Class B1R, 4.43%, 8/14/24</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,500,392</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2013-IA, Class B, 3.09%, 4/16/25</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">995,137</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, 0.33%, 1/25/37 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">739</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">699,526</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,005</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,071,295</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Dryden 34 Senior Loan Fund, Series 2014-34A, Class C, 3.08%, 10/15/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,999,953</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Ford Credit Floorplan Master Owner Trust, Series 2012-2:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class B, 2.32%, 1/15/19</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">490</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">497,512</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class C, 2.86%, 1/15/19</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">210</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">214,874</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class D, 3.50%, 1/15/19</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">400</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">413,251</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Galaxy CLO Ltd., Series 2014-18A, Class C1, 3.28%, 10/15/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,625</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,628,266</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Galaxy XV CLO Ltd., Series 2013-15A, Class C, 2.88%, 4/15/25 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">989,245</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class D, 3.78%, 10/29/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">984,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Highbridge Loan Management 4-2015, Ltd., Series 5A-2015, Class C1, 3.48%, 1/29/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,965,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Limerock CLO III LLC, Series 2014-3A, Class C, 3.83%, 10/20/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,443,750</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Madison Park Funding IX Ltd., Series 2012-9AR, Class DR, 4.13%, 8/15/22 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,200</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,200,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Madison Park Funding XV, Ltd., Series 2014-15A, Class B1, 3.46%, 1/27/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,800</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,812,763</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Nelnet Student Loan Trust (a):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2006-1, Class A5, 0.39%, 8/23/27</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,050</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,042,062</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2008-3, Class A4, 1.93%, 11/25/24</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,235</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,276,883</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class C, 4.03%, 11/14/25 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,250</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,216,428</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>


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    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->1<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>(Percentages shown are based on Net Assets)</B></FONT></TD></TR>
</TABLE>


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<DIV STYLE="margin-right: 20pt; width: 48%; float: left;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Asset-Backed Securities</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Asset-Backed Securities (continued)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Oaktree EIF II Series A1, Ltd., Series 2015-B1A, Class C, 3.46%, 2/15/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">994,600</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Oaktree EIF II Series A2, Ltd., Series 2014-A2, Class C, 3.47%, 11/15/25 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,250</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,250,089</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Octagon Investment Partners XX Ltd., Series 2014-1A (a)(b):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class C, 3.08%, 8/12/26</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">750</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">743,163</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class D, 3.93%, 8/12/26</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">978,293</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, 3.93%, 11/14/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,955,143</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Octagon Investment Partners XXII Ltd., Series 2014-1A, Class C1, 3.53%, 11/22/25 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,002,487</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">OneMain Financial Issuance Trust 2015-1, Series 2015-1A, Class D, 6.63%, 3/18/26 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,575</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,723,239</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">OneMain Financial Issuance Trust 2015-2, Series 2015-2A (b):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class C, 4.32%, 7/18/25</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,999,085</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class D, 5.64%, 7/18/25</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,499,740</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">OZLM Funding III, Ltd., Series 2013-3A (a)(b):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class B, 3.38%, 1/22/25</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,500,163</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class C, 4.18%, 1/22/25</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">501,351</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">OZLM VII Ltd., Series 2014-7A, Class C, 3.87%, 7/17/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">470</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">457,935</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">OZLM VIII, Ltd., Series 2014-8A, Class C, 3.77%, 10/17/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,750</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,705,145</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Regatta V Funding Ltd., Series 2014-1A, Class C, 3.73%, 10/25/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,930,003</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Santander Drive Auto Receivables Trust:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2011-1, Class D, 4.01%, 2/15/17</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,466</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,473,352</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2012-1, Class C, 3.78%, 11/15/17</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">312</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">313,919</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Silver Spring CLO Ltd., Series 2014-1A, Class D, 3.72%, 10/15/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,250</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,088,342</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">SLM Private Credit Student Loan Trust, Series 2004-B, Class A2, 0.47%, 6/15/21 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">160</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">159,064</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">SLM Private Education Loan Trust, Series 2012-A, Class A1, 1.59%, 8/15/25 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">269</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">270,866</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">SLM Student Loan Trust:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2008-5, Class A3, 1.58%, 1/25/18 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">414</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">415,448</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>

    <TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">

<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Asset-Backed Securities</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Asset-Backed Securities (continued)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">SLM Student Loan Trust&nbsp;(concluded):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2008-5, Class A4, 1.98%, 7/25/23 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,245</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,294,877</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2012-A, Class A2, 3.83%, 1/17/45 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">690</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">729,331</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2014-A, Class B, 3.50%, 11/15/44 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">494,842</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Small Business Administration Participation Certificates, Series 1996-20K, Class 1, 6.95%, 11/01/16</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">33</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">34,338</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Sound Point CLO, Ltd., Series 2014-3A, Class D, 3.89%, 1/23/27 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,446,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Steele Creek CLO 2014-1 Ltd., Series 2014-1A, Class C, 3.48%, 8/21/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,485,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Stewart Park CLO, Ltd. 2015-1, Series 2015-1A, Class D, 3.72%, 4/15/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">969,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Structured Asset Securities Corp., Series 2002-AL1, Class A2, 3.45%, 2/25/32</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">928</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">923,797</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Symphony CLO VII, Ltd., Series 2011-7A, Class E, 3.88%, 7/28/21 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,486,837</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Symphony CLO, Ltd., Series 2012-10AR, Class DR, 4.12%, 7/23/23 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,002,598</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Venture CDO Ltd., 3.35%, 10/15/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,550</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,549,959</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Venture XIX CLO, Ltd., Series 2014-19A, Class C, 3.55%, 1/15/27 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">555</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">555,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Voyage CLO Ltd., Series 2014-3A, Class C, 3.88%, 7/25/26 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,750</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,722,163</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Voyage CLO, Ltd., Series 2012-2AR, Class CR, 3.22%, 10/15/22 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,500,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 8/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,360</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,466,771</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">117,703,742</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Interest Only Asset-Backed Securities&nbsp;&#8212; 0.1%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,360</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">306,548</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">9,085</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">621,741</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right">928,289</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>Total Asset-Backed Securities</B> &#8212; <B>14.8%</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">118,632,031</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>

<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>


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    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->2<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>(Percentages shown are based on Net Assets)</B></FONT></TD></TR>
</TABLE>


<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">

<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Corporate Bonds</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Aerospace &amp; Defense&nbsp;&#8212; 0.3%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Huntington Ingalls Industries, Inc., 7.13%, 3/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">460</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">492,200</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">United Technologies Corp., 6.13%, 7/15/38 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,450</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,805,309</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">2,297,509</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Airlines&nbsp;&#8212; 2.2%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Air Canada Pass-Through Trust, Series 2015-1, Class B, 3.88%, 9/15/24 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,980,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">American Airlines Pass-Through Trust, Series 2013-2:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class A, 4.95%, 7/15/24 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,315</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,638,109</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class B, 5.60%, 1/15/22 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">936</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">976,219</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Continental Airlines Pass-Through Trust:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2010-1, Class B, 6.00%, 7/12/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">742</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">786,860</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2012-3, Class C, 6.13%, 4/29/18</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,052,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">United Airlines Pass-Through Trust:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2013-1, Class A, 4.30%, 2/15/27</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,908</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,122,523</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2014-2, Class B, 4.63%, 3/03/24</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,750</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,829,062</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">US Airways Pass-Through Trust, Series 2012-1, Class C, 9.13%, 10/01/15</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,313</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,338,832</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">17,724,105</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Auto Components&nbsp;&#8212; 0.8%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Icahn Enterprises LP/Icahn Enterprises Finance Corp.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3.50%, 3/15/17</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">182</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">184,048</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.88%, 3/15/19</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,660</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,743,125</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.00%, 8/01/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,906</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,048,950</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.88%, 2/01/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,578</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,654,927</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">6,631,050</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Automobiles&nbsp;&#8212; 1.1%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Ford Motor Co., 4.75%, 1/15/43 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,255</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,329,633</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">General Motors Co., 6.25%, 10/02/43</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,506</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,899,209</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>

    <TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">

<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Corporate Bonds</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Automobiles (concluded)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Jaguar Land Rover Automotive PLC, 4.13%, 12/15/18 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,539,375</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">8,768,217</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Banks&nbsp;&#8212; 5.0%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">The Bank of New York Mellon Corp., Series E, 4.95% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Barclays Bank PLC, 7.63%, 11/21/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,068,750</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Barclays PLC, 3.65%, 3/16/25</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,320</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,228,217</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Capital One Financial Corp., Series E, 5.55% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,504,375</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">CIT Group, Inc.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.50%, 2/15/19 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">796</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">840,775</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.38%, 5/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,300</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,502,125</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Depfa ACS Bank, 5.13%, 3/16/37 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">7,925</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">9,702,633</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">HSBC Holdings PLC:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.25%, 3/14/24 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,020</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,106,901</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.10%, 1/14/42</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">610</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">781,131</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Rabobank Nederland (c):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3.88%, 2/08/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,780</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,960,544</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3.95%, 11/09/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,071,478</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Wells Fargo &amp; Co., 3.50%, 3/08/22 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,780</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,918,594</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">39,685,523</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Building Products&nbsp;&#8212; 0.1%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Cemex SAB de CV, 5.88%, 3/25/19 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">400</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">413,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Capital Markets&nbsp;&#8212; 2.1%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">CDP Financial, Inc., 5.60%, 11/25/39 (b)(c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,890</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">7,518,438</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit Suisse Group AG, 7.50% (a)(b)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,191,250</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Morgan Stanley, 6.25%, 8/28/17 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,855</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,242,782</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">State Street Corp., Series F, 5.25% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,022,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">16,974,970</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Chemicals&nbsp;&#8212; 0.8%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV, 7.38%, 5/01/21 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">302</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">327,670</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Axiall Corp., 4.88%, 5/15/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">304</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">299,440</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">The Dow Chemical Co., 4.13%, 11/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">700</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">750,851</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Huntsman International LLC, 4.88%, 11/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">595</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">603,925</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Methanex Corp., 3.25%, 12/15/19</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,148</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,202,314</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>


<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>


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    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->3<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>(Percentages shown are based on Net Assets)</B></FONT></TD></TR>
</TABLE>


<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Corporate Bonds</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Chemicals (concluded)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">322</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">343,163</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">6,527,363</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Commercial Services &amp; Supplies&nbsp;&#8212; 1.1%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">ADS Waste Holdings, Inc., 8.25%, 10/01/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">491</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">517,391</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Aviation Capital Group Corp. (b):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.63%, 1/31/18</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,300</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,355,887</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.13%, 10/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,800</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,107,906</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Brand Energy &amp; Infrastructure Services, Inc., 8.50%, 12/01/21 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">325</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">312,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Mobile Mini, Inc., 7.88%, 12/01/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,640</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,738,400</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">The ADT Corp., 4.88%, 7/15/42</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,078</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">857,010</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">United Rentals North America, Inc.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.38%, 5/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">770</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">829,675</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.63%, 4/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">907</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">990,898</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">8,709,167</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Communications Equipment&nbsp;&#8212; 1.1%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">ADC Telecommunications, Inc., 3.50%, 7/15/15 (e)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8,670</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8,670,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Construction &amp; Engineering&nbsp;&#8212; 0.1%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">ABB Finance USA, Inc., 4.38%, 5/08/42</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">386</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">410,450</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BlueLine Rental Finance Corp., 7.00%, 2/01/19 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">192</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">198,240</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">400</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">410,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">1,018,690</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Construction Materials&nbsp;&#8212; 0.6%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Allegion US Holding Co., Inc., 5.75%, 10/01/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">894</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">936,465</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">HD Supply, Inc., 7.50%, 7/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,088</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,338,900</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Lafarge SA, 7.13%, 7/15/36</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">270</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">335,618</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">4,610,983</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Consumer Finance&nbsp;&#8212; 2.2%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Ally Financial, Inc.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.50%, 2/15/17</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,135,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.25%, 12/01/17</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">320</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">343,200</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">8.00%, 3/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">900</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,064,250</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">8.00%, 11/01/31</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">600</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">738,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Corivas Campus Living USG LLC, 5.30%, 7/01/50</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,700</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,700,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Discover Financial Services, 3.85%, 11/21/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">510,532</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Ford Motor Credit Co. LLC:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.63%, 8/15/17</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">280</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">309,144</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>

    <TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">

<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Corporate Bonds</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Consumer Finance (concluded)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Ford Motor Credit Co. LLC&nbsp;(concluded):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">8.13%, 1/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,530</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,131,905</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.25%, 9/20/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,600</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,702,949</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">SLM Corp., 6.25%, 1/25/16</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,312</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,344,800</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">17,979,780</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Containers &amp; Packaging&nbsp;&#8212; 0.4%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">182</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">191,100</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Sealed Air Corp. (b):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.50%, 12/01/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,100</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,226,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">8.38%, 9/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">450</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">506,250</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">820</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">865,100</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">2,788,950</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Diversified Consumer Services&nbsp;&#8212; 0.2%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">APX Group, Inc., 6.38%, 12/01/19</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">535</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">534,331</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Service Corp. International, 4.50%, 11/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,240</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,274,100</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">1,808,431</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Diversified Financial Services&nbsp;&#8212; 7.0%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Aircastle Ltd., 6.25%, 12/01/19</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,413</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,556,066</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Bank of America Corp. (c):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.63%, 7/01/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,200</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,515,823</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3.30%, 1/11/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">10,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">10,018,660</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series L, 3.95%, 4/21/25</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,475</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,452,579</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">FMR LLC, 4.95%, 2/01/33 (b)(c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,300</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,466,858</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">General Electric Capital Corp.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.75%, 3/15/32 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,368,928</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.15%, 8/07/37 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,150</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,800,351</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.88%, 1/10/39</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">135</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">189,084</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">General Motors Financial Co., Inc., 4.25%, 5/15/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">807</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">827,980</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">The Goldman Sachs Group, Inc., 3.75%, 5/22/25 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8,965</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">9,044,018</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">IntercontinentalExchange Group, Inc., 4.00%, 10/15/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">470</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">500,888</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Intesa Sanpaolo SpA, 5.02%, 6/26/24 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,290</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,297,408</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,506,250</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Moody's Corp., 4.50%, 9/01/22 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,800</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,941,876</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Northern Trust Corp., 3.95%, 10/30/25 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8,446,488</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Reynolds Group Issuer, Inc.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.88%, 8/15/19</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,120</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,173,200</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.75%, 10/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,082,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>

<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>


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    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->4<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

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<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>(Percentages shown are based on Net Assets)</B></FONT></TD></TR>
</TABLE>


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<DIV STYLE="margin-right: 20pt; width: 48%; float: left;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">


<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Corporate Bonds</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Diversified Financial Services (concluded)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Reynolds Group Issuer, Inc.&nbsp;(concluded):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.88%, 2/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,935</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,041,425</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">56,230,382</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Diversified Telecommunication Services&nbsp;&#8212; 3.0%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">AT&amp;T, Inc., 4.75%, 5/15/46</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,710</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,580,627</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">CenturyLink, Inc., Series V, 5.63%, 4/01/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">800</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">835,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Level 3 Financing, Inc., 8.63%, 7/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,230</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,326,863</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Telecom Italia Capital SA, 6.00%, 9/30/34</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,550</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,542,250</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Verizon Communications, Inc. (c):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3.50%, 11/01/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,039,061</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.40%, 2/15/38</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,879</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8,230,441</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.55%, 9/15/43</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,751</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8,200,332</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Windstream Corp.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.88%, 11/01/17</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">200</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">215,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.75%, 10/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">100</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">101,625</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.38%, 8/01/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">16,800</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">24,088,499</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Electric Utilities&nbsp;&#8212; 5.6%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Berkshire Hathaway Energy Co., 6.50%, 9/15/37 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,515</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,995,893</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">The Cleveland Electric Illuminating Co.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">8.88%, 11/15/18</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">242</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">295,769</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.95%, 12/15/36</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">434</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">499,956</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">CMS Energy Corp., 5.05%, 3/15/22 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,832</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,043,768</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">ComEd Financing III, 6.35%, 3/15/33</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">300</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">312,698</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Duke Energy Carolinas LLC:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.10%, 6/01/37</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">640</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">808,496</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.00%, 1/15/38 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,675</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,161,187</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.25%, 12/15/41 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">750</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">774,425</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Duke Energy Florida, Inc., 6.40%, 6/15/38 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">770</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,020,345</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">E.ON International Finance BV, 6.65%, 4/30/38 (b)(c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,100</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,908,474</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Electricite de France SA, 5.60%, 1/27/40 (b)(c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,800</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,239,015</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Florida Power Corp., 6.35%, 9/15/37 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,775</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,712,498</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Jersey Central Power &amp; Light Co., 7.35%, 2/01/19</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">490</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">572,267</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Ohio Power Co., Series D, 6.60%, 3/01/33 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,901,299</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">PacifiCorp, 6.25%, 10/15/37 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,225</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,596,086</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Public Service Co. of Colorado, Series 17, 6.25%, 9/01/37 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,550</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,478,083</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>

    <TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">

<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Corporate Bonds</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Electric Utilities (concluded)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Southern California Edison Co. (c):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.63%, 2/01/36</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,300</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,613,170</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series A, 5.95%, 2/01/38</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,175</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,740,211</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Virginia Electric and Power Co., Series A, 6.00%, 5/15/37 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,920</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,947,232</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">44,620,872</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Energy Equipment &amp; Services&nbsp;&#8212; 2.2%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Calfrac Holdings LP, 7.50%, 12/01/20 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">940</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">878,900</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Ensco PLC, 4.70%, 3/15/21 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,490</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,609,508</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Enterprise Products Operating LLC, 6.13%, 10/15/39 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,400</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,627,115</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">EOG Resources, Inc., 2.63%, 3/15/23 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,800</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,750,615</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">142</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">142,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">GrafTech International Ltd., 6.38%, 11/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,160</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,090,400</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">MEG Energy Corp., 6.50%, 3/15/21 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">560</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">543,200</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Peabody Energy Corp.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.00%, 11/15/18</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,507</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,779,970</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.25%, 11/15/21 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,483</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,222,878</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Seadrill Ltd., 6.13%, 9/15/17 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,180</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,838,150</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">17,482,736</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Food &amp; Staples Retailing&nbsp;&#8212; 0.1%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Rite Aid Corp.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.75%, 6/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">363</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">382,057</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.13%, 4/01/23 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">195</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">202,800</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">584,857</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Food Products&nbsp;&#8212; 0.2%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Barry Callebaut Services NV, 5.50%, 6/15/23 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,293</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,381,609</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Smithfield Foods, Inc., 5.88%, 8/01/21 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">338</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">354,055</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">1,735,664</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Health Care Equipment &amp; Supplies&nbsp;&#8212; 0.1%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Teleflex, Inc., 6.88%, 6/01/19</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">770</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">796,473</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Health Care Providers &amp; Services&nbsp;&#8212; 2.4%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">CHS/Community Health Systems, Inc., 5.13%, 8/15/18</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">800</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">823,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">ConvaTec Healthcare E SA, 7.38%, 12/15/17 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">EUR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">988</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,125,704</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">HCA Holdings, Inc., 7.75%, 5/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">283</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">302,816</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">HCA, Inc.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3.75%, 3/15/19</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">264</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">267,960</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.50%, 2/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,322</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,824,432</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.75%, 5/01/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,322</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,403,270</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>

<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>


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<!-- Field: Page; Sequence: 5; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->5<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>(Percentages shown are based on Net Assets)</B></FONT></TD></TR>
</TABLE>


<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">

<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Corporate Bonds</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Health Care Providers &amp; Services (concluded)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Tenet Healthcare Corp.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.25%, 11/01/18</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,609</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,752,796</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.00%, 10/01/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,244</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,331,080</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.50%, 4/01/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">766</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">758,340</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.38%, 10/01/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,530</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,459,400</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">8.13%, 4/01/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,317</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,525,530</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">19,574,328</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Hotels, Restaurants &amp; Leisure&nbsp;&#8212; 2.4%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,120</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,146,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Six Flags Entertainment Corp., 5.25%, 1/15/21 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,724</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,780,030</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">The Unique Pub Finance Co. PLC:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series A3, 6.54%, 3/30/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">GBP</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,178</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,112,776</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series A4, 5.66%, 6/30/27</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,199</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,869,041</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series M, 7.40%, 3/28/24</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,722,756</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series N, 6.46%, 3/30/32</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,390</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,232,795</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">18,863,898</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Household Durables&nbsp;&#8212; 0.5%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Beazer Homes USA, Inc.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.63%, 4/15/18</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">580</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">599,575</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.50%, 9/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">166</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">166,830</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Standard Pacific Corp., 10.75%, 9/15/16</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,100</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,325,750</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">371</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">372,855</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Tri Pointe Holdings, Inc. (b):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.38%, 6/15/19</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">430</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">423,550</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.88%, 6/15/24</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">290</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">285,287</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">4,173,847</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Household Products&nbsp;&#8212; 0.1%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Spectrum Brands, Inc.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.38%, 11/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">400</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">427,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.63%, 11/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">550</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">589,875</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">1,016,875</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Independent Power and Renewable Electricity Producers&nbsp;&#8212; 0.3%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Calpine Corp. (b):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.00%, 1/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">274</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">293,180</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.88%, 1/15/24</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">194</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">207,580</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">NRG REMA LLC, Series C, 9.68%, 7/02/26</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,537</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,667,645</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">2,168,405</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Industrial Conglomerates&nbsp;&#8212; 0.0%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Smiths Group PLC, 3.63%, 10/12/22 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">360</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">359,030</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Corporate Bonds</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Insurance&nbsp;&#8212; 2.5%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,221</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,254,578</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">AXA SA, 5.25%, 4/16/40 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">EUR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">630,967</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Five Corners Funding Trust, 4.42%, 11/15/23 (b)(c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,050</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,160,386</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Hartford Financial Services Group, Inc.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.00%, 1/15/19 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">690</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">778,592</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.13%, 4/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,860</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,088,196</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Liberty Mutual Group, Inc., 6.50%, 5/01/42 (b)(c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,408,508</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Lincoln National Corp. (c):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.25%, 2/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,260</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,471,732</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3.35%, 3/09/25</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,045</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,039,641</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Metlife, Inc., 5.25%, 12/31/49 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,002,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">680</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">719,100</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">EUR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">400</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">541,132</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Prudential Financial, Inc. (c):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.38%, 6/15/19</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">550</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">659,291</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.38%, 6/21/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">569,341</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.50%, 11/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">850</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">939,196</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.90%, 3/17/36</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">577,826</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.70%, 12/14/36</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,625</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,866,041</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">19,707,027</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Internet Software &amp; Services&nbsp;&#8212; 0.0%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Equinix, Inc., 4.88%, 4/01/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">173</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">178,623</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">IT Services&nbsp;&#8212; 0.6%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">420</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">444,675</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">First Data Corp. (b):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.38%, 6/15/19</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">980</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,019,200</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.75%, 11/01/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,384</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,612,420</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">5,076,295</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Life Sciences Tools &amp; Services&nbsp;&#8212; 0.1%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Agilent Technologies, Inc., 3.20%, 10/01/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">489,834</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Marine&nbsp;&#8212; 0.3%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Nakilat, Inc., Series A, 6.07%, 12/31/33 (b)(c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,150</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,520,155</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Media&nbsp;&#8212; 4.9%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">21st Century Fox America, Inc., 7.63%, 11/30/28</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">385</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">516,378</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">AMC Networks, Inc.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.75%, 7/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">640</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">696,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.75%, 12/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">686</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">699,720</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Cinemark USA, Inc., 5.13%, 12/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">350</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">357,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>


<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>


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    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->6<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>(Percentages shown are based on Net Assets)</B></FONT></TD></TR>
</TABLE>


<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Corporate Bonds</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Media (concluded)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Clear Channel Worldwide Holdings, Inc., Series B, 6.50%, 11/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,980</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,257,443</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,600</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,710,840</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Comcast Corp.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3.38%, 8/15/25</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,562,379</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.45%, 3/15/37 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">790</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000,304</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Cox Communications, Inc. (b):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.95%, 6/01/38</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,172,440</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">8.38%, 3/01/39 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,475</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,649,998</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.38%, 3/01/41</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">520</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">590,300</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.15%, 3/15/42</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,400</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,370,725</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Gray Television, Inc., 7.50%, 10/01/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">666</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">709,290</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">iHeartCommunications, Inc., 9.00%, 12/15/19</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">611</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">600,308</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Inmarsat Finance PLC, 4.88%, 5/15/22 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">990,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Intelsat Jackson Holdings SA, 5.50%, 8/01/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">700</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">642,908</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">The Interpublic Group of Cos., Inc., 3.75%, 2/15/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,042,030</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Live Nation Entertainment, Inc., 7.00%, 9/01/20 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">218</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">232,988</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">637</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">656,110</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Sirius XM Radio, Inc., 4.25%, 5/15/20 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">893</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">891,884</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">TCI Communications, Inc., 7.88%, 2/15/26 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">610</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">845,650</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Time Warner Inc.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,491,035</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3.60%, 7/15/25</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,491,035</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.10%, 7/15/40</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">830</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">973,431</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Unitymedia Hessen GmbH &amp; Co. KG/Unitymedia NRW GmbH, 5.50%, 1/15/23 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">505</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">520,781</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Univision Communications, Inc., 5.13%, 5/15/23 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,306</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,311,765</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Virgin Media Secured Finance PLC, 5.38%, 4/15/21 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">711</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">744,772</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">39,236,479</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Metals &amp; Mining&nbsp;&#8212; 2.8%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Alcoa, Inc., 5.40%, 4/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,900</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,153,750</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">ArcelorMittal:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.50%, 8/05/15</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">347</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">348,735</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.13%, 6/01/18</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">770</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">825,825</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Commercial Metals Co., 4.88%, 5/15/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,095</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,040,250</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>

<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">

<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Corporate Bonds</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Metals &amp; Mining (concluded)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Corp. Nacional del Cobre de Chile, 3.00%, 7/17/22 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,131</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,079,216</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Freeport-McMoRan Copper &amp; Gold, Inc., 5.45%, 3/15/43</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">900</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">784,660</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Novelis, Inc., 8.75%, 12/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8,225</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8,762,175</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,200</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,281,012</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Xstrata Canada Corp., 6.20%, 6/15/35</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,800</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,936,223</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">22,211,846</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Multiline Retail&nbsp;&#8212; 0.3%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Dufry Finance SCA, 5.50%, 10/15/20 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,520</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,629,749</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Oil, Gas &amp; Consumable Fuels&nbsp;&#8212; 5.2%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Access Midstream Partners LP/ACMP Finance Corp., 6.13%, 7/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">800</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">861,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Antero Resources Finance Corp., 5.38%, 11/01/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">306</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">309,825</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Bonanza Creek Energy, Inc., 6.75%, 4/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">198</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">191,565</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Cenovus Energy, Inc., 6.75%, 11/15/39 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,780,726</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Chesapeake Energy Corp., 5.75%, 3/15/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">717</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">708,037</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">ConocoPhillips Canada Funding Co., 5.95%, 10/15/36 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">685</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">830,093</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.13%, 3/01/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">110</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">114,813</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Denbury Resources, Inc., 4.63%, 7/15/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">627</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">572,137</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">El Paso LLC, 7.80%, 8/01/31</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">90</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">105,609</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">El Paso Natural Gas Co., 8.38%, 6/15/32</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">550</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">678,792</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Energy Transfer Partners LP, 7.50%, 7/01/38</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,212,303</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">KeySpan Gas East Corp., 5.82%, 4/01/41 (b)(c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,010</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,253,942</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Kinder Morgan Energy Partners LP:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.50%, 9/01/39</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,187,452</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.55%, 9/15/40</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">220</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">232,169</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.38%, 3/01/41</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">310</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">328,424</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Linn Energy LLC/Linn Energy Finance Corp., 6.25%, 11/01/19</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">474</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">405,270</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Marathon Petroleum Corp., 6.50%, 3/01/41</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,049</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,451,969</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>


<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>


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    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->7<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>(Percentages shown are based on Net Assets)</B></FONT></TD></TR>
</TABLE>


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<DIV STYLE="margin-right: 20pt; width: 48%; float: left;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Corporate Bonds</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Oil, Gas &amp; Consumable Fuels (concluded)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">MarkWest Energy Partners LP/MarkWest Energy Finance Corp.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.25%, 6/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">106</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">117,840</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.50%, 7/15/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">35</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">34,563</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">MidAmerican Energy Co., 5.80%, 10/15/36 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,898,172</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">MidAmerican Energy Holdings Co., 5.95%, 5/15/37 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,750</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,121,205</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Nexen, Inc.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.40%, 5/15/37</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">400</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">490,824</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.50%, 7/30/39 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,670</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,310,126</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Pacific Drilling SA, 5.38%, 6/01/20 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">294</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">242,550</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">94</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">100,345</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">PDC Energy, Inc., 7.75%, 10/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">520</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">556,400</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Pioneer Natural Resources Co., 3.95%, 7/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">700</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">719,868</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Range Resources Corp.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.75%, 6/01/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">213</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">220,988</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.00%, 8/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">53</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">52,735</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.00%, 3/15/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">125</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">125,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Regency Energy Partners LP/Regency Energy Finance Corp., 4.50%, 11/01/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">498</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">500,739</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Rosetta Resources, Inc., 5.63%, 5/01/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">596</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">631,820</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Sabine Pass Liquefaction LLC:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.63%, 2/01/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,578</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,694,285</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.25%, 3/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">796</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">837,790</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.63%, 4/15/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">937</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">953,397</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">SandRidge Energy, Inc.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">8.75%, 1/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">48</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">31,080</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.50%, 2/15/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">620</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">344,100</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">774</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">808,830</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Ultra Petroleum Corp., 5.75%, 12/15/18 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">357</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">345,397</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Western Gas Partners LP, 5.38%, 6/01/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,425</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,580,948</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Whiting Petroleum Corp., 5.00%, 3/15/19</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,642</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,642,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">The Williams Cos., Inc., Series A, 7.50%, 1/15/31</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,782,675</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">41,367,803</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Paper &amp; Forest Products&nbsp;&#8212; 0.3%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">International Paper Co.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.50%, 8/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">150</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">188,896</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.75%, 2/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">840</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">925,313</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>

    <TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">

<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Corporate Bonds</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Paper &amp; Forest Products (concluded)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">International Paper Co.&nbsp;(concluded):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.00%, 11/15/41</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">870</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">978,364</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">2,092,573</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Pharmaceuticals&nbsp;&#8212; 1.8%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">AbbVie, Inc., 3.60%, 5/14/25</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">870</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">875,563</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Actavis Funding SCS, 4.55%, 3/15/35</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,140</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,121,547</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Actavis, Inc., 3.25%, 10/01/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,951,844</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Forest Laboratories, Inc. (b):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.38%, 2/01/19</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">456</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">486,724</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.00%, 12/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">758</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">832,026</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Grifols Worldwide Operations, Ltd., 5.25%, 4/01/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">200</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">204,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,040</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,116,700</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Valeant Pharmaceuticals International, Inc. (b):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.75%, 8/15/18</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,643</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,793,321</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.38%, 10/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,150</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,226,906</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.63%, 12/01/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">754</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">782,275</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">14,390,906</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Real Estate Investment Trusts (REITs)&nbsp;&#8212; 1.5%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">AvalonBay Communities, Inc., 3.45%, 6/01/25</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,535</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,555,104</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">ERP Operating LP:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3.38%, 6/01/25</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,245</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,256,687</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.50%, 6/01/45</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,155</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,190,120</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Felcor Lodging LP, 5.63%, 3/01/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">494</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">516,230</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">HCP, Inc. (c):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3.88%, 8/15/24</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,011,985</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.00%, 6/01/25</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,004,544</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Simon Property Group LP, 4.75%, 3/15/42 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,670</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,802,309</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">550</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">603,833</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">11,940,812</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Real Estate Management &amp; Development&nbsp;&#8212; 0.9%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Lennar Corp., 4.75%, 11/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">880</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">872,300</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Northwest Florida Timber Finance LLC, 4.75%, 3/04/29 (b)(c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,600</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,230,054</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Realogy Corp., 7.63%, 1/15/20 (b)(c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,993</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,130,019</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">7,232,373</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Road &amp; Rail&nbsp;&#8212; 0.7%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Burlington Northern Santa Fe LLC, 5.75%, 5/01/40 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,890</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,266,781</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>


<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>


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<!-- Field: Page; Sequence: 8; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->8<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>(Percentages shown are based on Net Assets)</B></FONT></TD></TR>
</TABLE>


<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Corporate Bonds</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Road &amp; Rail (concluded)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">The Hertz Corp.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.25%, 4/01/18</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">473</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">478,913</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.88%, 10/15/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">460</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">469,775</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.38%, 1/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,070</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,165,737</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">5,381,206</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Semiconductors &amp; Semiconductor Equipment&nbsp;&#8212; 0.4%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">940</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">991,700</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Seagate HDD Cayman, 4.88%, 6/01/27 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,525,207</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">3,516,907</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Software&nbsp;&#8212; 0.5%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Nuance Communications, Inc., 5.38%, 8/15/20 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,170</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,188,988</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Oracle Corp., 5.38%, 7/15/40 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,575</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,794,846</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">3,983,834</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Specialty Retail&nbsp;&#8212; 0.3%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">The Home Depot, Inc., 5.88%, 12/16/36 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,660</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,049,791</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Textiles, Apparel &amp; Luxury Goods&nbsp;&#8212; 0.3%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">PVH Corp., 4.50%, 12/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">977</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">991,655</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Springs Industries, Inc., 6.25%, 6/01/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">806</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">793,910</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">The William Carter Co., 5.25%, 8/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">657</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">679,995</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">2,465,560</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Tobacco&nbsp;&#8212; 1.2%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Altria Group, Inc.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">9.95%, 11/10/38</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">516</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">862,221</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10.20%, 2/06/39</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">894</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,520,807</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.38%, 1/31/44 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,030</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,318,649</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Lorillard Tobacco Co., 7.00%, 8/04/41</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,238,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Reynolds American, Inc., 4.75%, 11/01/42</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,100</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,014,043</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">9,953,720</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Wireless Telecommunication Services&nbsp;&#8212; 2.4%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">America Movil SAB de CV, 2.38%, 9/08/16 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,595</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,618,941</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Crown Castle International Corp., 5.25%, 1/15/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">930</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">980,453</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Crown Castle Towers LLC, 6.11%, 1/15/40 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,155</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,621,678</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Digicel Group Ltd., 8.25%, 9/30/20 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">865</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">897,005</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Digicel Ltd., 6.00%, 4/15/21 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,550</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,530,625</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Rogers Communications, Inc., 7.50%, 8/15/38 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,325</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,178,635</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>

<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">

<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Corporate Bonds</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Wireless Telecommunication Services (concluded)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">SBA Tower Trust, 5.10%, 4/15/17 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">720</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">747,354</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Softbank Corp., 4.50%, 4/15/20 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">550</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">565,125</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Sprint Capital Corp., 8.75%, 3/15/32</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">350</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">357,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Sprint Communications, Inc. (b):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">9.00%, 11/15/18</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,060</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,215,025</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.00%, 3/01/20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,760</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,942,600</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Sprint Corp., 7.88%, 9/15/23</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,891</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,922,958</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Vodafone Group PLC, 2.50%, 9/26/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">910</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">834,679</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right">19,412,078</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>Total Corporate Bonds</B> &#8212; <B>69.0%</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">552,141,175</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; color: #47B0FF">&nbsp;</TD></TR> <TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; background-color: #0070C0; color: #47B0FF">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Foreign Agency Obligations</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Brazilian Government International Bond, 5.00%, 1/27/45</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,724</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,309,010</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Cyprus Government International Bond, 4.63%, 2/03/20 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">EUR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,210</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,388,772</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Iceland Government International Bond, 5.88%, 5/11/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,555</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,123,537</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Italian Government International Bond, 5.38%, 6/15/33</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,925</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,409,591</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Portugal Government International Bond, 5.13%, 10/15/24 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,250</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,450,707</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Slovenia Government International Bond, 5.85%, 5/10/23 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">864</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,006,992</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>Total Foreign Agency Obligations</B> &#8212; <B>2.3%</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">18,688,609</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; color: #47B0FF">&nbsp;</TD></TR> <TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; background-color: #0070C0; color: #47B0FF">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Municipal Bonds</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">City of Detroit Michigan, GO, Financial Recovery (a):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series B-1, 4.00%, 4/01/44</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">251</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">149,486</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series B-2, 4.00%, 4/01/44</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">80</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">48,686</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">City of New York New York Municipal Water Finance Authority, Refunding RB, 2nd General Resolution:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series EE, 5.50%, 6/15/43</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">930</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,095,484</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series GG, Build America Bonds, 5.72%, 6/15/42</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,390</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,772,653</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Water &amp; Sewer System, Series EE, 5.38%, 6/15/43</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">770</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">901,116</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,900</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,414,045</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>


<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>


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    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->9<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>(Percentages shown are based on Net Assets)</B></FONT></TD></TR>
</TABLE>


<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Municipal Bonds</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,535</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,248,501</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Metropolitan Transportation Authority, RB, Build America Bonds, Series C, 7.34%, 11/15/39</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,295</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,912,417</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Municipal Electric Authority of Georgia Plant Vogtle Units 3 &amp; 4, Refunding RB, Build America Bonds, Series A, 7.06%, 4/01/57</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,282,280</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">New York State Dormitory Authority, RB, Build America Bonds:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.63%, 3/15/39</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,100</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,334,784</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.60%, 3/15/40</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,900</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,344,144</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Port Authority of New York &amp; New Jersey, RB, 159th Series, 6.04%, 12/01/29</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">780</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">980,444</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">State of California, GO, Build America Bonds, Various Purpose:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.55%, 4/01/39</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">280</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">422,080</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.63%, 3/01/40</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,720</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,592,659</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">State of Illinois, GO, Pension, 5.10%, 6/01/33</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,898,480</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">University of California, RB, Build America Bonds, 5.95%, 5/15/45</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">885</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,074,072</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>Total Municipal Bonds</B> &#8212; <B>3.1%</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">24,471,331</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; color: #47B0FF">&nbsp;</TD></TR> <TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; background-color: #0070C0; color: #47B0FF">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Non-Agency Mortgage-Backed Securities</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Collateralized Mortgage Obligations&nbsp;&#8212; 1.2%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,178</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,001,614</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.47%, 4/01/18</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">9</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">9</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Countrywide Alternative Loan Trust:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2005-64CB, Class 1A15, 5.50%, 12/25/35</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,934</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,836,242</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2006-OA21, Class A1, 0.37%, 3/20/47 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,316</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,035,797</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA5, Class 2A1, 0.38%, 4/25/46 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">528</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">425,277</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>

    <TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">

<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Non-Agency Mortgage-Backed Securities</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Collateralized Mortgage Obligations (concluded)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1, 2.63%, 7/27/36 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,754</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,768,256</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 3.54%, 6/19/35 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">989</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">981,616</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">GSR Mortgage Loan Trust:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2006-4F, Class 1A1, 5.00%, 5/25/36</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">216</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">208,974</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2007-4F, Class 3A1, 6.00%, 7/25/37</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">369</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">332,568</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.36%, 12/25/36 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">862</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">744,990</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">JPMorgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 8/25/36</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">140</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">117,022</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 2.70%, 5/25/36 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">986</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">799,395</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">411</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">426,144</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, 0.92%, 5/25/47 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">286</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">242,939</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">9,920,843</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Commercial Mortgage-Backed Securities&nbsp;&#8212; 15.2%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Banc of America Merrill Lynch Commercial Mortgage Trust:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2006-6, Class A2, 5.31%, 10/10/45</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">147</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">147,619</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2007-1, Class A4, 5.45%, 1/15/49</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">909</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">961,507</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2007-2, Class A4, 5.61%, 4/10/49 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,578,740</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Bank of America Merrill Lynch Commercial Mortgage Securities Trust, 3.60%, 4/14/33 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,690</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,792,979</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Bear Stearns Commercial Mortgage Securities, Series 2005-PWR9, Class A4A, 4.87%, 9/11/42</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">739</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">740,088</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Citigroup Commercial Mortgage Trust, Series 2013-GC15, Class B, 5.11%, 9/10/46 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">7,183</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8,116,682</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,193</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,313,711</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>


<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>


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</div><br style="clear:both"><br style="clear:both">

<!-- Field: Page; Sequence: 10; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->10<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>(Percentages shown are based on Net Assets)</B></FONT></TD></TR>
</TABLE>


<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Non-Agency Mortgage-Backed Securities</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Commercial Mortgage-Backed Securities (continued)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">COMM 2015-3BP Mortgage Trust, Series 2015-3BP, Class A, 3.18%, 2/10/35 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">7,570</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">7,670,848</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">COMM 2015-CCRE22 Mortgage Trust, Series 2015-CR22, Class C, 4.13%, 3/10/48 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,052,565</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">COMM 2015-LC19 Mortgage Trust, Series 2015-LC19, Class C, 4.26%, 2/10/48 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,582,439</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Commercial Mortgage Loan Trust, Series 2008-LS1, Class A4B, 6.04%, 12/10/49 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,390</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,476,972</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Commercial Mortgage Trust:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2006-C7, Class AM, 5.78%, 6/10/46 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,643,083</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2013-CR11, Class B, 5.16%, 10/10/46 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">7,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">7,927,850</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2013-LC6, Class B, 3.74%, 1/10/46</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,390</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,444,512</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2013-LC6, Class D, 4.29%, 1/10/46 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,670</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,601,550</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Core Industrial Trust 2015-TEXW, Series 2015-TEXW, Class D, 3.85%, 2/10/34 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,585</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,620,080</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit Suisse Commercial Mortgage Trust:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2006-C3, Class AM, 5.81%, 6/15/38 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,084,588</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2006-C5, Class AM, 5.34%, 12/15/39</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,684,390</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2010-RR2, Class 2A, 5.95%, 9/15/39 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,160</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,229,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3, Class AJ, 4.77%, 7/15/37</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">735</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">734,628</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">CSAIL 2015-C1 Commercial Mortgage Trust, Series 2015-C1:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class B, 4.04%, 4/15/50</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,110</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,164,998</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class C, 4.45%, 4/15/50</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,026,227</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class D, 3.80%, 4/15/50 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">892,298</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">DBRR Trust, Series 2011-C32, Class A3A, 5.72%, 6/17/49 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">730</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">766,728</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">GAHR Commercial Mortgage Trust 2015-NRF, Series 2015-NRF, Class DFX, 3.38%, 12/15/19 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,170</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,106,912</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, 5.82%, 7/10/38 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,231</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,298,014</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>

    <TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">

<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Non-Agency Mortgage-Backed Securities</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Commercial Mortgage-Backed Securities (concluded)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,505</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,574,940</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Hilton USA Trust, Series 2013- HLT, 4.41%, 11/05/30</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,900</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,994,990</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class D, 5.08%, 11/15/45 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,600</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,623,461</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-LN2, Class A2, 5.12%, 7/15/41</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">78</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">77,722</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB14, Class AM, 5.47%, 12/12/44 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">660</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">673,572</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">LB-UBS Commercial Mortgage Trust (a):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2007-C6, Class A4, 5.86%, 7/15/40</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">9,590</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">10,031,423</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2007-C7, Class A3, 5.87%, 9/15/45</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,186</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,386,167</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A4, 5.45%, 2/12/44 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8,440,888</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Morgan Stanley Capital I Trust 2014-CPT, Series 2014-CPT, Class G, 3.45%, 7/13/29 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,200</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,049,018</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, 1.83%, 8/15/45 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">30,256</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,363,850</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">RCMC LLC, Series 2012-CRE1, Class A, 5.62%, 11/15/44 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">915</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">936,259</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 5.95%, 2/15/51 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,406</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,648,133</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">WF-RBS Commercial Mortgage Trust, Series 2012-C8:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class B, 4.31%, 8/15/45</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,395</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,497,295</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Class C, 4.88%, 8/15/45 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,795</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,951,221</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">121,544,597</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>



<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Interest Only Collateralized Mortgage Obligations&nbsp;&#8212; 0.0%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">GSMPS Mortgage Loan Trust, Series 1998-5, 0.00%, 6/19/27 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">13</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">13</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>

<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>


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</div><br style="clear:both"><br style="clear:both">

<!-- Field: Page; Sequence: 11; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->11<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>(Percentages shown are based on Net Assets)</B></FONT></TD></TR>
</TABLE>


<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Non-Agency Mortgage-Backed Securities</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Interest Only Commercial Mortgage-Backed Securities&nbsp;&#8212; 0.7%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">WF-RBS Commercial Mortgage Trust, Class XA (a)(b):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2012-C8, 2.19%, 8/15/45</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">11,733</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,133,008</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2012-C9, 2.20%, 11/15/45</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">20,665</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,187,238</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">5,684,096</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>Total Non-Agency Mortgage-Backed Securities</B> &#8212; <B>17.1%</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">137,149,549</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; color: #47B0FF">&nbsp;</TD></TR> <TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; background-color: #0070C0; color: #47B0FF">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Preferred Securities</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Capital Trusts</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Banks&nbsp;&#8212; 5.8%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Bank of America Corp., Series X, 6.25% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,570</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,636,937</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas SA, 7.20% (a)(b)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,395,400</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Citigroup, Inc.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series D, 5.95% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,100</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,071,125</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series M, 6.30% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,015,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit Agricole SA:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.63% (a)(b)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,400</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,403,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.88% (a)(b)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,128,832</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">JPMorgan Chase &amp; Co.:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 1, 7.90% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">7,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">7,465,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series Q, 5.15% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,930,625</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series U, 6.13% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">515,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series V, 5.00% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,917,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Nordea Bank AB, 6.13% (a)(b)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,960</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,032,165</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Societe Generale SA:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.00% (a)(b)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,720</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,462,600</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7.88% (a)(b)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,055,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Wells Fargo &amp; Co., Series S, 5.90% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,390</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,491,700</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">46,520,884</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Capital Markets&nbsp;&#8212; 1.2%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">The Bank of New York Mellon Corp., Series D, 4.50% (a)(c)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8,400</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8,001,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Morgan Stanley, Series H, 5.45% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,750</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,754,375</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">State Street Capital Trust IV, 1.27%, 6/01/77 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">140</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">119,525</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">9,874,900</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Consumer Finance&nbsp;&#8212; 0.3%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Capital One Financial Corp., 4.75%, 7/15/21 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,935</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,138,924</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>

<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">

<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Capital Trusts</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Diversified Financial Services&nbsp;&#8212; 0.5%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">General Electric Capital Corp., Series B, 6.25% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,800</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,010,937</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Macquarie Bank Ltd., 10.25%, 6/20/57 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,800</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,011,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">4,022,437</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Electric Utilities&nbsp;&#8212; 0.6%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Electricite de France SA, 5.25% (a)(b)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,200</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,364,220</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Insurance&nbsp;&#8212; 3.8%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">The Allstate Corp:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.75%, 8/15/53 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,152,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.50%, 5/15/67 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,100</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,735,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">AXA SA, 6.46% (a)(b)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,050</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,129,437</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Liberty Mutual Group, Inc., 7.00%, 3/07/67 (a)(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,950</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,006,062</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Lincoln National Corp., 6.05%, 4/20/67 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,425</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,307,438</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Metlife Capital Trust IV, 7.88%, 12/15/67 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,285</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,667,287</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">MetLife, Inc., 6.40%, 12/15/36 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">7,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8,001,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Swiss Re Capital I LP, 6.85% (a)(b)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,120</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,191,550</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Voya Financial, Inc., 5.65%, 5/15/53 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,668,750</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">XL Group PLC, Series E, 6.50% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,625</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,399,938</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right">30,259,462</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>Total Capital Trusts</B> &#8212; <B>12.2%</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">97,180,827</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; color: #47B0FF">&nbsp;</TD></TR> <TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; background-color: #0070C0; color: #47B0FF">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">Preferred Stocks</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center"><BR>
Shares</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Banks&nbsp;&#8212; 1.2%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">US Bancorp, 6.00% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">300,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8,082,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Wells Fargo &amp; Co., 5.85% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">75,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,939,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">10,021,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Capital Markets&nbsp;&#8212; 0.4%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">The Goldman Sachs Group, Inc., Series J, 5.50% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">92,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,287,120</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">SCE Trust III, 5.75% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">25,314</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">691,579</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">2,978,699</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Thrifts &amp; Mortgage Finance&nbsp;&#8212; 0.0%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Fannie Mae, Series S, 8.25% (a)(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">10,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">41,500</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>Total Preferred Stocks</B> &#8212; <B>1.6%</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">13,041,699</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>

<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>

<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>


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<!-- Field: Page; Sequence: 12; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->12<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>(Percentages shown are based on Net Assets)</B></FONT></TD></TR>
</TABLE>


<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-size: 8pt; font-weight: bold"><BR CLEAR="ALL">
 Trust Preferred</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Banks&nbsp;&#8212; 0.1%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Citigroup Capital XIII, 7.88%</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">29,583</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">764,009</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>Total Preferred Securities</B> &#8212; <B>13.9%</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">110,986,535</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; color: #47B0FF">&nbsp;</TD></TR> <TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; background-color: #0070C0; color: #47B0FF">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">U.S. Government Sponsored Agency Securities</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Agency Obligations&nbsp;&#8212; 3.1%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Fannie Mae (c):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">0.00%, 10/09/19 (f)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">14,360</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">13,187,822</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.63%, 7/15/37</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,600</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,196,867</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Federal Home Loan Bank (c):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.25%, 12/09/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,375</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,657,962</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.37%, 9/09/24</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,175</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,677,521</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Resolution Funding Corp. (f):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">0.00%, 4/15/30</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,055</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,862,242</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">0.00%, 7/15/18 - 10/15/18</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,050</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,005,122</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">24,587,536</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Collateralized Mortgage Obligations&nbsp;&#8212; 0.1%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Fannie Mae Mortgage-Backed Securities:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2005-5, Class PK, 5.00%, 12/25/34</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">382</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">405,946</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 1991-87, Class S, 26.19%, 8/25/21 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">11,197</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series G-49, Class S, 1,015.59%, 12/25/21 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;(g)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">175</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series G-17, Class S, 1,061.87%, 6/25/21 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">34</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">459</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series G-33, Class PV, 1,078.42%, 10/25/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">34</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">195</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series G-07, Class S, 1,123.73%, 3/25/21 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;(g)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">611</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 1991-46, Class S, 2,476.69%, 5/25/21 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,201</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Freddie Mac Mortgage-Backed Securities:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 0173, Class R, 9.00%, 11/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 0173, Class RS, 9.48%, 11/15/21 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;(g)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 1057, Class J, 1,008.00%, 3/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">17</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">163</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 0019, Class R, 16,280.28%, 3/15/20 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">163</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">420,114</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>

<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">

<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">U.S. Government Sponsored Agency<BR>
Securities</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Commercial Mortgage-Backed Securities&nbsp;&#8212; 0.7%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Freddie Mac Mortgage-Backed Securities (a):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2013-K24, Class B, 3.50%, 11/25/45 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,562,226</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series K013, Class A2, 3.97%, 1/25/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,870</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,062,111</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2012-K706, Class C, 4.03%, 11/25/44 (b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">335</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">347,781</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">5,972,118</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Interest Only Collateralized Mortgage Obligations&nbsp;&#8212; 1.5%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Fannie Mae Mortgage-Backed Securities:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 1997-50, Class SI, 1.20%, 4/25/23 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">73</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,265</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2012-96, Class DI, 4.00%, 2/25/27</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">10,108</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,004,175</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2012-M9, Class X1, 4.03%, 12/25/17 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">22,955</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,801,656</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2012-47, Class NI, 4.50%, 4/25/42</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8,168</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,422,969</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 089, Class 2, 8.00%, 10/25/18</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">46</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 007, Class 2, 8.50%, 4/25/17</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;(g)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">30</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series G92-05, Class H, 9.00%, 1/25/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">378</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 094, Class 2, 9.50%, 8/25/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;(g)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">88</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 1990-136, Class S, 19.89%, 11/25/20 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,519</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,459</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 1991-139, Class PT, 648.35%, 10/25/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">45</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">345</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 1991-099, Class L, 930.00%, 8/25/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">20</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">177</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series G-10, Class S, 1,087.12%, 5/25/21 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">100</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,159</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series G-12, Class S, 1,154.03%, 5/25/21 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">68</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,177</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Freddie Mac Mortgage-Backed Securities:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series K707, Class X1, 1.55%, 12/25/18 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,889</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">232,435</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series K710, Class X1, 1.78%, 5/25/19 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">16,903</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,011,089</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2611, Class QI, 5.50%, 9/15/32</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,198</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">102,037</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 1254, Class Z, 8.50%, 4/15/22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">28</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,769</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 1043, Class H, 44.17%, 2/15/21 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,109</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,011</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>

<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>


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</div><br style="clear:both"><br style="clear:both">

<!-- Field: Page; Sequence: 13; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->13<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>(Percentages shown are based on Net Assets)</B></FONT></TD></TR>
</TABLE>


<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">U.S. Government Sponsored Agency<BR>
Securities</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">Interest Only Collateralized Mortgage Obligations (concluded)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Freddie Mac Mortgage-Backed Securities (concluded):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 1054, Class I, 865.25%, 3/15/21 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">16</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">291</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 0176, Class M, 1,010.00%, 7/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">7</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">138</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 1056, Class KD, 1,084.50%, 3/15/21</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">11</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">123</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 1148, Class E, 1,174.98%, 10/15/21 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">26</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">443</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 0200, Class R, 197,127.04%, 12/15/22 (a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;(g)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">260</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Ginnie Mae Mortgage-Backed Securities (a):</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2009-78, Class SD, 6.02%, 9/20/32</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">8,428</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,586,142</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2009-116, Class KS, 6.29%, 12/16/39</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,759</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">584,406</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Series 2011-52, Class NS, 6.49%, 4/16/41</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">22,677</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,180,962</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">11,948,030</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Mortgage-Backed Securities&nbsp;&#8212; 6.7%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Fannie Mae Mortgage-Backed Securities:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3.00%, 8/01/43 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">13,084</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">13,292,245</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.00%, 12/01/41 - 12/01/43 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">9,019</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">9,688,613</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">4.50%, 7/01/41 - 4/01/42 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">20,459</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">22,295,052</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.00%, 8/01/34 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,452</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,852,569</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.50%, 7/01/16 - 6/01/38 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,946</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,219,904</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">6.00%, 3/01/16 - 12/01/38</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,587</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,813,078</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Freddie Mac Mortgage-Backed Securities, 6.00%, 5/1/16 - 12/1/18</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">151</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">154,788</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Ginnie Mae Mortgage-Backed Securities:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5.50%, 8/15/33</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">61</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">69,624</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">8.00%, 7/15/24</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;(g)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">280</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">53,386,153</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>

<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;">

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">

<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold">U.S. Government Sponsored Agency Securities</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Par<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="font-weight: bold">Principal Only Collateralized Mortgage Obligations&nbsp;&#8212; 0.0%</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Fannie Mae Mortgage-Backed Securities, 0.00%, 2/25/23 - 6/25/23 (f)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">22</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">21,190</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>Total U.S. Government Sponsored Agency Securities</B> &#8212; <B>12.1%</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">96,335,141</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; color: #47B0FF">&nbsp;</TD></TR> <TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; background-color: #0070C0; color: #47B0FF">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; font-weight: bold">U.S. Treasury Obligations</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">U.S. Treasury Bonds, 3.00%, 11/15/44 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">65,500</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">67,316,577</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">US Treasury Bond, 3.00%, 5/15/45 (c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">20,117</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">20,731,514</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>Total U.S. Treasury Obligations</B> &#8212; <B>11.0%</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">88,048,091</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>Total Long-Term Investments</B><BR>
<B>(Cost &#8212; $1,101,545,614) &#8212; 143.3%</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">1,146,452,462</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; color: #47B0FF">&nbsp;</TD></TR> <TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; background-color: #0070C0; color: #47B0FF">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; font-weight: bold">Short-Term Securities</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Shares</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BlackRock Liquidity Funds, TempFund, Institutional Class, 0.08% (h)(i)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">141,176</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">141,176</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom"><B>Total Short-Term Securities</B><BR>
<B>(Cost &#8212; $141,176) &#8212; 0.0%</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right">141,176</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; color: #47B0FF">&nbsp;</TD></TR> <TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; background-color: #0070C0; color: #47B0FF">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>Options Purchased</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>(Cost &#8212; $757,600) &#8212; 0.1%</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">763,726</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>Total Investments Before Options Written</B><BR>
<B>(Cost &#8212; $1,102,444,390*) &#8212; 143.4%</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">1,147,357,364</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; color: #47B0FF">&nbsp;</TD></TR> <TR> <TD COLSPAN="10" STYLE="vertical-align: bottom; background-color: #0070C0; color: #47B0FF">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>Options Written</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>(Premiums Received &#8212;</B> $<B>7,679,136) &#8212; (0.9)%</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">(7,090,988)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom"> <TD COLSPAN="10" STYLE="padding-bottom: 2pt; font-weight: bold; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>Total Investments, Net of Options Written</B><BR>
<B>(Cost &#8212; $1,094,765,254) &#8212; 142.5%</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">1,140,266,376</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>Liabilities in Excess of Other Assets</B> &#8212; <B>(42.5)%</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">(339,879,148)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt"><B>Net Assets</B> &#8212; <B>100.0%</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right">800,387,228</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom"> <TD colspan="8" STYLE="font-size: 2pt">&nbsp;</td> <TD COLSPAN="2" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>


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    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->14<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right">&nbsp;</TD></TR>
</TABLE>


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<DIV STYLE="margin-right: 20pt; width: 48%; float: left;">



<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; text-align: left; width: 5%">*</TD>
    <TD STYLE="vertical-align: top">As of May 31, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:</TD>
    </TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; text-align: center">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Tax cost&#9;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,102,863,501</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt">
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font-size: 2pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; font-size: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Gross unrealized appreciation&#9;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">62,081,446</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Gross unrealized depreciation&#9;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(17,605,029)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt">
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font-size: 2pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; font-size: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Net unrealized appreciation&#9;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">44,476,417</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt">
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font-size: 2pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; font-size: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>

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</DIV><DIV style="width: 48%; float: right;">

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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="3">
        <P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; background-color: #99CCFF; border-top: navy 1pt solid; border-bottom: navy 1pt solid"><B>Notes
        to Schedule of Investments </B></P></TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">(a)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom">Variable rate security. Rate shown is as of report date.</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">(b)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom">Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">(c)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom">All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">(d)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom">Security is perpetual in nature and has no stated maturity date.</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">(e)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom">Convertible security.</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">(f)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom">Zero-coupon bond.</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">(g)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom">Amount is less than $500.</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">(h)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom">During the period ended May 31, 2015, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 45%">&nbsp;</TD>
    <TD STYLE="width: 50%">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="9" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 40%; font-weight: bold">Affiliate</TD><TD STYLE="width: 3%; font-weight: bold">&nbsp;</TD>
    <TD STYLE="width: 12%; font-weight: bold; text-align: center">Shares<BR> Held at<BR> August 31, 2014</TD><TD STYLE="width: 3%; font-weight: bold">&nbsp;</TD>
    <TD STYLE="width: 12%; font-weight: bold; text-align: center">Net Activity</TD><TD STYLE="width: 3%; font-weight: bold">&nbsp;</TD>
    <TD STYLE="width: 12%; font-weight: bold; text-align: center">Shares<BR> Held at<BR> May 31, 2015</TD><TD STYLE="width: 3%; font-weight: bold">&nbsp;</TD>
    <TD STYLE="width: 12%; font-weight: bold; text-align: center">Income</TD></TR>
<TR STYLE="vertical-align: bottom; font-size: 2pt">
    <TD STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 2pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 2pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 2pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 2pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 0.1in">BlackRock Liquidity Funds, TempFund, Institutional Class</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">742,474</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">(601,298)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">141,176</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">$1,469</TD></TR>
<TR STYLE="vertical-align: bottom; font-size: 2pt">
    <TD STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 2pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 2pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 2pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 2pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 5%">(i)</TD>
    <TD STYLE="vertical-align: bottom; width: 95%">Represents the current yield as of report date.</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="2">
        <P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; background-color: #99CCFF; border-top: navy 1pt solid; border-bottom: navy 1pt solid"><B>Portfolio
        Abbreviations </B></P></TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; width: 52%; font-weight: bold">&nbsp;</TD>
    <TD STYLE="width: 48%; font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
</TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 10%">ADS</TD>
    <TD STYLE="vertical-align: bottom">American Depositary Shares</TD>
    <TD STYLE="vertical-align: top; width: 10%">LIBOR</TD>
    <TD STYLE="vertical-align: bottom">London Interbank Offered Rate</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">AUD</TD>
    <TD STYLE="vertical-align: bottom">Australian Dollar</TD>
    <TD STYLE="vertical-align: top">MBS</TD>
    <TD STYLE="vertical-align: bottom">Mortgage-Backed Security</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">CAB</TD>
    <TD STYLE="vertical-align: bottom">Capital Appreciation Bonds</TD>
    <TD STYLE="vertical-align: top">MXN</TD>
    <TD STYLE="vertical-align: bottom">Mexican Peso</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">CAD</TD>
    <TD STYLE="vertical-align: bottom">Canadian Dollar</TD>
    <TD STYLE="vertical-align: top">NOK</TD>
    <TD STYLE="vertical-align: bottom">Norwegian Krone</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">CLO</TD>
    <TD STYLE="vertical-align: bottom">Collateralized Loan Obligation</TD>
    <TD STYLE="vertical-align: top">NZD</TD>
    <TD STYLE="vertical-align: bottom">New Zealand Dollar</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">CR</TD>
    <TD STYLE="vertical-align: bottom">Custodian Receipt</TD>
    <TD STYLE="vertical-align: top">Radian</TD>
    <TD STYLE="vertical-align: bottom">Radian Guaranty, Inc.</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">EUR</TD>
    <TD STYLE="vertical-align: bottom">Euro</TD>
    <TD STYLE="vertical-align: top">RB</TD>
    <TD STYLE="vertical-align: bottom">Revenue Bonds</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">FNMA</TD>
    <TD STYLE="vertical-align: bottom">Federal National Mortgage Association</TD>
    <TD STYLE="vertical-align: top">SEK</TD>
    <TD STYLE="vertical-align: bottom">Swedish Krona</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">GBP</TD>
    <TD STYLE="vertical-align: bottom">British Pound</TD>
    <TD STYLE="vertical-align: top">USD</TD>
    <TD STYLE="vertical-align: bottom">U.S. Dollar</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">GO</TD>
    <TD STYLE="vertical-align: bottom">General Obligation Bonds</TD>
    <TD STYLE="vertical-align: top">VA</TD>
    <TD STYLE="vertical-align: bottom">Department of Veterans Affairs</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">JPY</TD>
    <TD STYLE="vertical-align: bottom">Japanese Yen</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>


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    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->15<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right">&nbsp;</TD></TR>
</TABLE>



<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 4%; font-weight: bold; text-align: center"><BR>
&#8226;</TD>
    <TD STYLE="vertical-align: top; width: 94%; font-weight: bold"><BR>
<FONT STYLE="font-weight: normal">As of May 31, 2015, reverse repurchase agreements outstanding were as follows:</FONT></TD>
    <TD STYLE="width: 2%; font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; padding-bottom: 2pt">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; width: 44%; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Counterparty</TD>
    <TD STYLE="vertical-align: bottom; width: 8%; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Interest<BR>
Rate</TD>
    <TD STYLE="vertical-align: bottom; width: 9%; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Trade<BR>
Date</TD>
    <TD STYLE="vertical-align: bottom; width: 9%; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Maturity<BR>
Date<SUP>1</SUP></TD>
    <TD STYLE="vertical-align: bottom; width: 1%; font-weight: bold; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 13%; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Face Value</TD>
    <TD STYLE="vertical-align: bottom; width: 1%; font-weight: bold; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 13%; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Face Value<BR>
Including<BR>
Accrued<BR>
Interest</TD>
    <TD STYLE="width: 2%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.28%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,373,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,385,461</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.32%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,348,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,353,692</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.32%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,355,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,360,721</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.32%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,416,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,421,979</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.32%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,369,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,379,002</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.33%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,073,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,077,672</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.34%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,410,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,416,325</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.34%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">827,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">830,710</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.34%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,233,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,238,531</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.34%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,805,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,828,365</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">496,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">498,618</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.34%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/13/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,172,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,176,239</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.34%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/13/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">633,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">635,290</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Barclays Capital, Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/14/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">534,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">535,983</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Barclays Capital, Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/14/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">556,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">558,065</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Barclays Capital, Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/14/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">354,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">355,315</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Barclays Capital, Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/14/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">272,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">273,010</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Barclays Capital, Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/14/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">979,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">982,636</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Barclays Capital, Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/14/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">468,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">469,738</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Barclays Capital, Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/14/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">294,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">295,092</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Barclays Capital, Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/14/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">738,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">740,741</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Barclays Capital, Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">6/26/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,981,250</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,991,105</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">7/7/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,823,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,829,478</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">7/7/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">968,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">971,440</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">7/7/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">963,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">966,422</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">7/7/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,884,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,890,694</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">7/7/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">490,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">491,741</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">7/7/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,203,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,207,275</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">7/7/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">834,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">836,963</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Bank of America Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.14%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">10/28/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,306,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,307,092</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Bank of America Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.14%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">10/28/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">820,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">820,686</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.14%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">10/28/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">847,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">847,708</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.34%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">10/28/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,986,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,994,094</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">10/28/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,751,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,760,931</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.36%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">10/28/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,509,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,512,244</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.36%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">10/28/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,407,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,412,175</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.36%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">10/28/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">967,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">969,079</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">10/31/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,147,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,151,954</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">10/31/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">821,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">822,894</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">10/31/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,904,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,908,393</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Barclays Capital, Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,076,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,078,124</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Barclays Capital, Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,032,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,034,037</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Barclays Capital, Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,796,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,805,465</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.14%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">854,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">854,674</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.14%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,353,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,354,068</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.14%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,547,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,552,168</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.14%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,358,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,359,072</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,679,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,684,287</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>


<!-- Field: Page; Sequence: 16 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->16<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right">&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 4%; font-weight: bold; text-align: center"><BR>
&#8226;</TD>
    <TD STYLE="vertical-align: top; width: 94%; font-weight: bold"><BR>
<FONT STYLE="font-weight: normal">As of May 31, 2015, reverse repurchase agreements outstanding were as follows (continued):</FONT></TD>
    <TD STYLE="width: 2%; font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; padding-bottom: 2pt">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; width: 44%; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Counterparty</TD>
    <TD STYLE="vertical-align: bottom; width: 8%; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Interest<BR>
Rate</TD>
    <TD STYLE="vertical-align: bottom; width: 9%; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Trade<BR>
Date</TD>
    <TD STYLE="vertical-align: bottom; width: 9%; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Maturity<BR>
Date<SUP>1</SUP></TD>
    <TD STYLE="vertical-align: bottom; width: 1%; font-weight: bold; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 13%; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Face Value</TD>
    <TD STYLE="vertical-align: bottom; width: 1%; font-weight: bold; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 13%; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Face Value<BR>
Including<BR>
Accrued<BR>
Interest</TD>
    <TD STYLE="width: 2%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,564,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,567,087</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,083,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,091,058</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,131,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,135,206</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,754,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,757,462</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,769,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,778,412</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,211,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,213,390</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,147,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,149,264</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,914,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,919,751</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,009,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,010,991</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">488,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">488,963</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.35%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,818,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,823,562</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">HSBC Securities (USA), Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,289,500</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,299,175</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">HSBC Securities (USA), Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">7,682,500</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">7,699,828</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">HSBC Securities (USA), Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,169,900</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,179,305</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">HSBC Securities (USA), Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,358,094</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,367,924</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">HSBC Securities (USA), Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">7,707,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">7,724,384</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.34%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">176,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">176,337</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.34%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,206,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,208,312</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.34%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,409,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,411,701</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.34%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,550,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,552,972</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.34%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,447,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,449,774</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.34%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,614,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,620,929</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.34%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,265,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,273,177</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.34%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,369,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,371,625</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.34%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,360,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,362,607</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.34%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">942,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">943,806</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">UBS Securities LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.34%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/10/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,212,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,214,324</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">12/19/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,600,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,602,862</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">12/19/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,817,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,820,250</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">12/19/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,736,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,739,106</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">12/19/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,961,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,964,508</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">12/19/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,900,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,903,399</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">12/19/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,701,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,704,043</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">12/19/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,080,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,083,721</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.50%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">12/19/14</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,637,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,640,661</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Barclays Capital, Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">(1.75%)</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3/4/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,654,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,646,925</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Deutsche Bank Securities, Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.16%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3/5/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,384,775</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,387,244</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">RBC Capital Markets, LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3/31/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,262,500</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,264,691</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">RBC Capital Markets, LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">4/23/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,408,050</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,408,645</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">RBC Capital Markets, LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">4/23/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,137,125</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,138,028</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">4/30/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,749,325</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,749,947</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">RBC Capital Markets, LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/5/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,875,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,875,548</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">RBC Capital Markets, LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/5/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,598,625</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,599,093</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.16%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/7/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">67,112,500</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">67,119,659</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/7/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">966,625</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">966,894</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/7/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,177,913</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,178,240</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/7/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,503,125</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,503,543</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/7/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,521,231</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,521,654</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">HSBC Securities (USA), Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.25%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/12/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">6/11/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">39,711,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">39,716,240</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">HSBC Securities (USA), Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">5/14/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Open</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,301,750</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,302,210</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>


<!-- Field: Page; Sequence: 17 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->17<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right">&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 4%; font-weight: bold; text-align: center"><BR>
&#8226;</TD>
    <TD STYLE="vertical-align: top; width: 94%; font-weight: bold"><BR>
<FONT STYLE="font-weight: normal">As of May 31, 2015, reverse repurchase agreements outstanding were as follows (concluded):</FONT></TD>
    <TD STYLE="width: 2%; font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; padding-bottom: 2pt">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; width: 44%; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Counterparty</TD>
    <TD STYLE="vertical-align: bottom; width: 8%; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt; padding-right: 15pt">Interest<BR>
Rate</TD>
    <TD STYLE="vertical-align: bottom; width: 9%; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt; padding-right: 15pt">Trade<BR>
Date</TD>
    <TD STYLE="vertical-align: bottom; width: 9%; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt; padding-right: 15pt">Maturity<BR>
Date<SUP>1</SUP></TD>
    <TD STYLE="vertical-align: bottom; width: 1%; font-weight: bold; text-align: left; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 13%; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Face Value</TD>
    <TD STYLE="vertical-align: bottom; width: 1%; font-weight: bold; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 13%; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Face Value<BR>
Including<BR>
Accrued<BR>
Interest</TD>
    <TD STYLE="width: 2%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">HSBC Securities (USA), Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; padding-right: 15pt">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">5/14/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">Open</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,895,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,895,579</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">HSBC Securities (USA), Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; padding-right: 15pt">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">5/14/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">Open</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">752,963</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">753,113</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">HSBC Securities (USA), Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; padding-right: 15pt">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">5/14/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">Open</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,448,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,448,890</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">HSBC Securities (USA), Inc.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; padding-right: 15pt">0.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">5/14/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">Open</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,776,250</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,777,005</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; padding-right: 15pt">0.12%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">5/15/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">Open</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">20,150,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">20,151,142</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">RBC Capital Markets, LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; padding-right: 15pt">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">5/15/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">Open</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,827,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,827,336</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">RBC Capital Markets, LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; padding-right: 15pt">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">5/15/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">Open</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,191,875</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,192,279</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Morgan Stanley &amp; Co. LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; padding-right: 15pt">0.30%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">5/19/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">7/20/15</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">9,984,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">9,984,998</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">RBC Capital Markets, LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; padding-right: 15pt">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">5/21/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">Open</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,041,425</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,041,668</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">RBC Capital Markets, LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; padding-right: 15pt">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">5/21/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">Open</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,932,760</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,932,990</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">RBC Capital Markets, LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; padding-right: 15pt">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">5/21/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">Open</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,995,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,995,238</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">RBC Capital Markets, LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; padding-right: 15pt">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">5/21/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">Open</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,295,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,295,273</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">RBC Capital Markets, LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; padding-right: 15pt">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">5/21/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">Open</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,984,650</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,984,887</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">RBC Capital Markets, LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; padding-right: 15pt">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">5/22/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">Open</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,827,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,827,198</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">RBC Capital Markets, LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; padding-right: 15pt">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">5/22/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">Open</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,653,750</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,653,929</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">RBC Capital Markets, LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; padding-right: 15pt">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">5/22/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">Open</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,097,900</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,098,127</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">RBC Capital Markets, LLC</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; padding-right: 15pt">0.39%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">5/22/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">Open</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,540,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,540,167</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">BNP Paribas Securities Corp.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; padding-right: 15pt">0.42%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">5/29/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; padding-right: 15pt">Open</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,879,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,879,101</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; padding-top: 2pt"><B>Total</B></TD>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; padding-top: 2pt; text-align: center; padding-right: 15pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; padding-top: 2pt; text-align: center; padding-right: 15pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; padding-top: 2pt; text-align: center; padding-right: 15pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; padding-top: 2pt; text-align: left">$</TD>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; padding-top: 2pt; text-align: right">362,723,360</TD>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; padding-top: 2pt; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; padding-top: 2pt; text-align: right">363,134,805</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom">
    <TD COLSPAN="4" STYLE="font-size: 2pt">&nbsp;</td>
    <TD COLSPAN="5" STYLE="font-size: 2pt; border-bottom: Black 1pt solid; width: 10%">&nbsp;</td></tr>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; font-weight: bold; text-align: center"><FONT STYLE="font-weight: normal"><SUP>1</SUP></FONT></TD>
    <TD STYLE="width: 96%; font-size: 7pt; font-weight: bold"><FONT STYLE="font-size: 7pt; font-weight: normal">Certain agreements have no stated maturity and can be terminated by either party at any time.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><BR>
&#8226;</TD>
    <TD STYLE="width: 96%; border-bottom: Black 1pt solid; font-weight: bold"><BR>
<FONT STYLE="font-weight: normal">As of May 31, 2015, financial futures contracts outstanding were as follows:</FONT></TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; font-weight: bold; padding-bottom: 4pt">Contracts<BR> Long/<BR> (Short)</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; padding-bottom: 4pt">Issue</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; padding-bottom: 4pt">Exchange</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; padding-bottom: 4pt">Expiration</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="7" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; padding-bottom: 4pt">Notional<BR> Value</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; padding-bottom: 4pt">Unrealized<BR> Appreciation<BR> (Depreciation)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 11%; text-align: left">250</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">90 Day Euro Future</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 13%; text-align: center; text-indent: -0.1in; padding-left: 0.1in">ICE Futures Europe</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 11%; text-align: center">June 2015</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 5%; text-align: right">USD</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 10%; text-align: right">47,485,476</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">5,575</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left">(135)</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">10-Year U.S. Treasury Note</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Chicago Board of Trade</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: center">September 2015</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">USD</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17,237,813</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(61,334</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left">(440)</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">2-Year U.S. Treasury Note</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Chicago Board of Trade</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: center">September 2015</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">USD</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">96,298,125</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(98,264</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left">62</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">5-Year U.S. Treasury Note</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Chicago Board of Trade</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: center">September 2015</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">USD</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,423,047</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">37,128</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left">(250)</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">90 Day Euro Future</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">ICE Futures Europe</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: center">September 2015</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">USD</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">47,466,371</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(20,522</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left">(5)</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Long U.S. Treasury Bond</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Chicago Board of Trade</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: center">September 2015</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">USD</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">778,125</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(9,866</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left">430</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Ultra Long U.S. Treasury Bond</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Chicago Board of Trade</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: center">September 2015</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">USD</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">68,920,937</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">573,658</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left">(110)</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">90-Day Euro-Dollar</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Chicago Mercantile</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: center">March 2016</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">USD</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">27,295,125</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(84,052</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left">100</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">90 Day Euro Future</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Chicago Mercantile</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: center">December 2016</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">USD</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">24,660,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">93,414</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid">(100)</TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in; border-bottom: Black 1pt solid">90 Day Euro Future</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in; border-bottom: Black 1pt solid">Chicago Mercantile</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: center; border-bottom: Black 1pt solid">December 2017</TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">USD</TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">24,518,750</TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(113,253</TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left"><B>Total</B></TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: center">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid">322,484</TD><TD STYLE="padding-bottom: 1pt; text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 4%; font-weight: bold; text-align: center">&#8226;</TD>
    <TD STYLE="width: 96%; font-weight: bold"><FONT STYLE="font-weight: normal">As of May 31, 2015, forward foreign currency contracts outstanding were as follows:</FONT></TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid; font-weight: bold; text-align: center; padding-top: 4pt; padding-bottom: 4pt">Currency<BR>
Purchased</TD>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid; font-weight: bold; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid; font-weight: bold; text-align: center; padding-top: 4pt; padding-bottom: 4pt">Currency<BR>
Sold</TD>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid; font-weight: bold; text-align: center; padding-top: 4pt; padding-bottom: 4pt">Counterparty</TD>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid; font-weight: bold; text-align: center; padding-top: 4pt; padding-bottom: 4pt">Settlement<BR>
Date</TD>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid; font-weight: bold; text-align: right; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid; font-weight: bold; text-align: center; padding-top: 4pt; padding-bottom: 4pt; padding-right: 3px">Unrealized<BR>
Appreciation (Depreciation)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; width: 9%; padding-left: 0.1in; text-align: right; text-indent: -0.1in">AUD</TD>
    <TD STYLE="vertical-align: bottom; width: 13%; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,480,000</TD>
    <TD STYLE="vertical-align: bottom; width: 5%; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 7%; padding-left: 0.1in; text-align: right; text-indent: -0.1in">CAD</TD>
    <TD STYLE="vertical-align: bottom; width: 13%; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,387,372</TD>
    <TD STYLE="vertical-align: bottom; width: 26%; padding-left: 0.1in; text-align: center; text-indent: -0.1in">HSBC Bank PLC</TD>
    <TD STYLE="vertical-align: bottom; width: 11%; padding-left: 0.1in; text-align: center; text-indent: -0.1in">6/10/15</TD>
    <TD STYLE="vertical-align: bottom; width: 1%; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; width: 13%; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(24,128)</TD>
    <TD STYLE="width: 2%; font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">AUD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,618,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">MXN</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">32,349,579</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">BNP Paribas S.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">6/10/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(98,772)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">AUD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,512,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">NZD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,680,133</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">6/10/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">19,586</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">CAD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,406,223</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">AUD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,480,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Goldman Sachs International</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">6/10/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">39,283</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">CAD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,471,675</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,025,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">BNP Paribas S.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">6/10/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(37,830)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">EUR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,891,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">GBP</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,381,417</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">BNP Paribas S.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">6/10/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(34,135)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>


<!-- Field: Page; Sequence: 18 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->18<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
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    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right">&nbsp;</TD></TR>
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<TR>
    <TD STYLE="vertical-align: bottom; width: 4%; font-weight: bold; text-align: center">&#8226;</TD>
    <TD STYLE="vertical-align: bottom; width: 94%; font-weight: bold"><FONT STYLE="font-weight: normal">As of May 31, 2015, forward foreign currency contracts outstanding were as follows (concluded):</FONT></TD>
    <TD STYLE="width: 2%; font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; padding-bottom: 2pt">&nbsp;</TD></TR>
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<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="5" STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Currency<BR> Purchased</TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="5" STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Currency<BR> Sold</TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD NOWRAP STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Counterparty</TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Settlement<BR> Date</TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Unrealized<BR> Appreciation (Depreciation)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 10%; text-align: right; text-indent: -0.1in; padding-left: 0.1in">EUR</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 11%; text-align: right">1,730,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 10%; text-align: right; text-indent: -0.1in; padding-left: 0.1in">GBP</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 11%; text-align: right">1,230,860</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; text-align: center; text-indent: -0.1in; padding-left: 0.1in">Citibank N.A.</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 12%; text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">19,118</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">GBP</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,355,471</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">EUR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,891,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Deutsche Bank AG</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(5,519</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">GBP</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,248,799</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">EUR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,730,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">UBS AG</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8,298</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">GBP</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,314,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">NOK</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15,153,822</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Goldman Sachs International</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">58,665</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">GBP</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,301,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">SEK</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16,834,504</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Bank of America N.A.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13,666</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">GBP</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,200,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">SEK</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15,473,226</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Goldman Sachs International</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">18,982</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">JPY</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">239,937,592</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">EUR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,780,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">UBS AG</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(21,864</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">MXN</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">31,538,601</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">AUD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,618,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Deutsche Bank AG</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">46,139</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">MXN</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30,727,136</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">CAD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,420,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Goldman Sachs International</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">48,577</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">NOK</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15,397,568</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">GBP</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,314,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">BNP Paribas S.A.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(27,307</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">NZD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,608,421</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">AUD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,512,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Bank of America N.A.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(70,428</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">NZD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,698,654</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">AUD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,520,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Barclays Bank PLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(12,569</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">NZD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,700,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">CAD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,413,808</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Bank of America N.A.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(26,428</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">NZD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,652,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,011,659</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">BNP Paribas S.A.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(131,471</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">NZD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,652,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,982,891</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">BNP Paribas S.A.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(102,703</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">NZD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,670,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,953,826</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">HSBC Bank PLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(60,876</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">SEK</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16,273,861</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">GBP</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,250,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">JPMorgan Chase Bank N.A.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,485</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,974,469</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">AUD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,520,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Citibank N.A.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">48,636</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,025,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">CAD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,434,983</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Goldman Sachs International</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">67,330</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,050,167</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">NZD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,708,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Bank of America N.A.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">130,277</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,966,946</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">NZD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,670,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Bank of America N.A.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">73,997</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,988,819</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">NZD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,596,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">UBS AG</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/10/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">148,333</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,000,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">SEK</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17,059,672</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Bank of America N.A.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">7/08/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,175</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">EUR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29,002</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">State Street Bank and Trust Co.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">7/21/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(428</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,860,188</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">EUR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,657,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">UBS AG</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">7/21/15</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(60,492</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; padding-bottom: 1pt; text-indent: -0.1in; padding-left: 0.1in; border-bottom: Black 1pt solid">USD</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">15,885,756</TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: right; padding-bottom: 1pt; text-indent: -0.1in; padding-left: 0.1in; border-bottom: Black 1pt solid">GBP</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">10,744,000</TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; padding-bottom: 1pt; text-indent: -0.1in; padding-left: 0.1in; border-bottom: Black 1pt solid">Barclays Bank PLC</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: center; padding-bottom: 1pt; text-indent: -0.1in; padding-left: 0.1in; border-bottom: Black 1pt solid">7/21/15</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(529,551</TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; padding-bottom: 1pt">Total</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; padding-bottom: 1pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; padding-bottom: 1pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">$</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(507,274</TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; width: 2%; font-weight: bold">&#8226;</TD>
    <TD STYLE="vertical-align: bottom; width: 96%; font-weight: bold"><FONT STYLE="font-weight: normal">As of May 31, 2015, OTC interest rate swaptions purchased were as follows:</FONT></TD>
    <TD STYLE="width: 2%; font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; padding-bottom: 2pt">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font-weight: bold; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font-weight: bold; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Description</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Counterparty</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Put/<BR>
Call</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Exercise<BR>
Rate</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Pay/Receive<BR>
Exercise Rate</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Floating Rate<BR>
Index</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Expiration<BR>
Date</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Notional<BR>
Amount<BR>
(000)</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Market<BR>
Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5-Year Interest Rate Swap</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Citibank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.75%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/12/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">57,158</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Citibank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.75%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3/23/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,800</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">17,446</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.25%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/13/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">81,622</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.25%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/17/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">81,641</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">4.00%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/03/22</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">175,225</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Bank of America N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">4.00%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/04/22</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">175,216</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; padding-left: 0.1in; text-align: center; text-indent: -0.1in">4.00%</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/11/22</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,000</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; padding-left: 0.1in; text-align: right; text-indent: -0.1in">175,418</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="10" STYLE="vertical-align: bottom; padding-top: 2pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif"><B>Total</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; border-bottom: Black 1pt solid">$</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; border-bottom: Black 1pt solid">763,726</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 13%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 6%">&nbsp;</TD>
    <TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 8%">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 6%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 9%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; width: 2%; font-weight: bold">&#8226;</TD>
    <TD STYLE="vertical-align: bottom; width: 96%; font-weight: bold"><FONT STYLE="font-weight: normal">As of May 31, 2015, OTC interest rate swaptions written were as follows:</FONT></TD>
    <TD STYLE="width: 2%; font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; padding-bottom: 2pt">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Description</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Counterparty</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Put/<BR>
Call</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Exercise<BR>
Rate</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Pay/Receive<BR>
Exercise Rate</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Floating Rate<BR>
Index</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Expiration<BR>
Date</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Notional<BR>
Amount<BR>
(000)</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Market<BR>
Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; width: 2%; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 25%; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; width: 13%; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Citibank N.A.</TD>
    <TD STYLE="vertical-align: bottom; width: 5%; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; width: 6%; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.00%</TD>
    <TD STYLE="vertical-align: bottom; width: 10%; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; width: 10%; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; width: 8%; padding-left: 0.1in; text-align: center; text-indent: -0.1in">8/20/15</TD>
    <TD STYLE="vertical-align: bottom; width: 3%; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; width: 6%; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,800</TD>
    <TD STYLE="vertical-align: bottom; width: 1%; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; width: 9%; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(30,403)</TD>
    <TD STYLE="width: 2%; font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Citibank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.00%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">8/20/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,800</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(30,403)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>


<!-- Field: Page; Sequence: 19 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->19<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right">&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; width: 2%; font-weight: bold">&#8226;</TD>
    <TD STYLE="vertical-align: bottom; width: 96%; font-weight: bold"><FONT STYLE="font-weight: normal">As of May 31, 2015, OTC interest rate swaptions written were as follows (continued):</FONT></TD>
    <TD STYLE="width: 2%; font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; padding-bottom: 2pt">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; font-weight: bold; padding-top: 4pt; padding-bottom: 4pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; padding-top: 4pt; padding-bottom: 4pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">Description</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; padding-top: 4pt; padding-bottom: 4pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">Counterparty</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; padding-top: 4pt; padding-bottom: 4pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">Put/<BR>
Call</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; padding-top: 4pt; padding-bottom: 4pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">Exercise<BR>
Rate</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; padding-top: 4pt; padding-bottom: 4pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">Pay/Receive<BR>
Exercise Rate</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; padding-top: 4pt; padding-bottom: 4pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">Floating Rate<BR>
Index</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; padding-top: 4pt; padding-bottom: 4pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">Expiration<BR>
Date</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; font-weight: bold; text-align: center; padding-top: 4pt; padding-bottom: 4pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">Notional<BR>
Amount<BR>
(000)</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; padding-top: 4pt; padding-bottom: 4pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">Market<BR>
Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 4pt; padding-bottom: 4pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; width: 2%; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 25%; padding-left: 0.1in; text-indent: -0.1in">5-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; width: 13%; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; width: 5%; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; width: 6%; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.45%</TD>
    <TD STYLE="vertical-align: bottom; width: 10%; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; width: 10%; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; width: 8%; padding-left: 0.1in; text-align: center; text-indent: -0.1in">10/30/15</TD>
    <TD STYLE="vertical-align: bottom; width: 3%; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; width: 6%; padding-left: 0.1in; text-align: right; text-indent: -0.1in">36,500</TD>
    <TD STYLE="vertical-align: bottom; width: 1%; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; width: 9%; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(141,314)</TD>
    <TD STYLE="width: 2%; font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.79%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/17/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">27,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(1,347,355)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">12/21/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(131,294)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Goldman Sachs Bank USA</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.60%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/20/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,400</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(29,790)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">BNP Paribas SA</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.55%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/21/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">27,700</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(113,477)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">0.44%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/22/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">EUR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,680</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(43,150)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">0.48%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/22/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">EUR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,670</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(51,261)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.60%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/26/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,300</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(30,047)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Citibank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/12/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">12,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(51,720)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Credit Suisse International</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">0.53%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3/14/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">EUR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(22,136)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.50%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3/17/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">12,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(390,936)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.60%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3/17/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">12,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(454,509)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Citibank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.40%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3/23/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,600</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(16,601)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Credit Suisse International</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.75%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/09/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,500</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(32,946)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">HSBC Bank USA</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.75%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/17/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,300</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(43,880)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.50%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/13/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,500</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(41,787)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.90%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/13/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,900</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(117,661)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.50%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/17/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">4,500</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(41,926)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.10%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3/06/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,800</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(40,870)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Call</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.51%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Pay</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">4/09/18</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,400</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(99,799)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.79%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">11/17/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">27,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(181,851)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3.60%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3/17/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">12,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(30,134)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Citibank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.10%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">8/20/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">9,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(17,087)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Citibank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.10%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">8/20/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">9,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(17,087)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.60%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">9/23/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(34,314)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.30%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">10/30/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">36,500</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(106,454)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.70%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">12/21/15</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(53,500)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Goldman Sachs Bank USA</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.60%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/20/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,400</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(99,739)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">BNP Paribas SA</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.55%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/21/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">27,700</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(481,632)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">0.44%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/22/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">EUR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,680</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(53,510)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Barclays Bank PLC</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">0.48%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/22/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">EUR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,650</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(46,835)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">0.48%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/22/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">EUR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,670</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(46,976)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Barclays Bank PLC</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">0.55%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/22/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">EUR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">10,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(55,974)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.60%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/26/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,300</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(100,833)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Goldman Sachs Bank USA</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">0.70%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3/10/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">EUR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(44,004)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">7-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Credit Suisse International</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">0.53%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3/14/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">EUR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(64,965)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.90%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3/17/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">12,000</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(132,568)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>


<!-- Field: Page; Sequence: 20 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->20<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right">&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; width: 2%; font-weight: bold">&#8226;</TD>
    <TD STYLE="vertical-align: bottom; width: 96%; font-weight: bold"><FONT STYLE="font-weight: normal">As of May 31, 2015, OTC interest rate swaptions written were as follows (concluded):</FONT></TD>
    <TD STYLE="width: 2%; font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; padding-bottom: 2pt">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Description</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Counterparty</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Put/<BR>
Call</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Exercise<BR>
Rate</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Pay/Receive<BR>
Exercise Rate</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Floating Rate<BR>
Index</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Expiration<BR>
Date</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt; padding-right: 6pt">Notional<BR>
Amount<BR>
(000)</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Market<BR>
Value</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; width: 2%; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; width: 13%; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Citibank N.A.</TD>
    <TD STYLE="vertical-align: bottom; width: 5%; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; width: 6%; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.70%</TD>
    <TD STYLE="vertical-align: bottom; width: 10%; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; width: 10%; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; width: 8%; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3/21/16</TD>
    <TD STYLE="vertical-align: bottom; width: 3%; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; width: 8%; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">5,000</TD>
    <TD STYLE="vertical-align: bottom; width: 1%; text-align: left">$</TD>
    <TD STYLE="vertical-align: bottom; width: 9%; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(82,411)</TD>
    <TD STYLE="width: 2%; font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Citibank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">0.50%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3/21/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">EUR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">5,000</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(41,935)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">5-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">0.60%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">4/26/16</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">EUR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">15,000</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(109,908)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Credit Suisse International</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.75%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/09/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">2,500</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(78,796)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">BNP Paribas SA</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3.50%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/09/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">9,300</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(108,530)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Barclays Bank PLC</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3.50%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/09/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">4,400</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(51,348)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3.55%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/09/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">15,000</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(162,987)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Goldman Sachs Bank USA</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3.60%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/09/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">4,400</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(44,496)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.70%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/12/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">1,000</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(33,674)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">HSBC Bank USA</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.75%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/17/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">3,300</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(105,339)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Barclays Bank PLC</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.75%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/30/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">6,800</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(221,438)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.75%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/30/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">4,000</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(130,258)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.75%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/30/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">2,000</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(65,129)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.75%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/30/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">2,000</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(65,129)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.70%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/02/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">2,000</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(69,463)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.90%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/13/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">6,900</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(191,974)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3.50%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/13/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">3,000</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(38,309)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3.50%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/17/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">3,000</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(38,783)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3.10%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3/06/17</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">1,800</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(40,653)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">3.70%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1/08/18</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">5,000</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(92,364)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2.51%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">4/09/18</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">2,400</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(146,834)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">6.00%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/03/22</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">10,000</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(105,858)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Bank of America N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">6.00%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/04/22</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">10,000</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(105,880)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">10-Year Interest Rate Swap</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Put</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">6.00%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">Receive</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">3-Month LIBOR</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">2/11/22</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">10,000</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(106,210)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; border-top: Black 1pt solid; padding-top: 2pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif"><B>Total</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; padding-top: 2pt; text-align: left">$</TD>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; padding-top: 2pt; text-align: right">(7,108,434)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt">&nbsp;</td>
    <TD COLSPAN="3" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; width: 4%; font-weight: bold; text-align: center">&#8226;</TD>
    <TD STYLE="vertical-align: bottom; width: 94%; font-weight: bold"><FONT STYLE="font-weight: normal">As of May 31, 2015, centrally cleared interest rate swaps outstanding were as follows:</FONT></TD>
    <TD STYLE="width: 2%; font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; padding-bottom: 2pt">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt; padding-left: 20pt">Fixed<BR> Rate</TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Floating<BR> Rate</TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD NOWRAP STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Clearinghouse</TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Effective<BR> Date</TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Expiration<BR> Date</TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="5" STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Notional<BR> Amount<BR> (000)</TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Unrealized<BR> Appreciation<BR> (Depreciation)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 11%; text-align: center; padding-left: 0.1in">0.56%<SUP>1</SUP></TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 11%; text-align: center; text-indent: -0.1in; padding-left: 0.1in">3-Month LIBOR</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Chicago Mercantile</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 11%; text-align: center; text-indent: -0.1in; padding-left: 0.1in">N/A</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 11%; text-align: center; padding-left: 0.1in">6/25/15</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 5%; text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 8%; text-align: right">41,800</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">(4,929</TD><TD STYLE="width: 1%; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-left: 0.1in">1.68%<SUP>1</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">3-Month LIBOR</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Chicago Mercantile</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">10/05/15<SUP>2</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; padding-left: 0.1in">11/30/19</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">54,400</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(143,727</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-left: 0.1in">2.04%<SUP>1</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">3-Month LIBOR</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Chicago Mercantile</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/30/15<SUP>2</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; padding-left: 0.1in">12/31/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,100</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(31,802</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-left: 0.1in">2.09%<SUP>1</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">3-Month LIBOR</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Chicago Mercantile</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/30/15<SUP>2</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; padding-left: 0.1in">12/31/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,100</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(32,937</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-left: 0.1in">2.03%<SUP>1</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">3-Month LIBOR</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Chicago Mercantile</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">9/30/15<SUP>2</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; padding-left: 0.1in">4/30/22</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,800</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(27,497</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-left: 0.1in">2.23%<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">3-Month LIBOR</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Chicago Mercantile</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">1/30/17<SUP>2</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; padding-left: 0.1in">1/30/25</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10,955</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-left: 0.1in">1.96%<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">3-Month LIBOR</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Chicago Mercantile</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">N/A</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; padding-left: 0.1in">3/25/25</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(23,600</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-left: 0.1in">2.02%<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">3-Month LIBOR</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Chicago Mercantile</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">N/A</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; padding-left: 0.1in">3/25/25</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(55,820</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-left: 0.1in">2.27%<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">3-Month LIBOR</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Chicago Mercantile</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">N/A</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; padding-left: 0.1in">5/26/25</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15,072</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-left: 0.1in">2.50%<SUP>1</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">3-Month LIBOR</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">Chicago Mercantile</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">N/A</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; padding-left: 0.1in">5/27/25</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">24,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(484,445</TD><TD STYLE="text-align: left">)</TD></TR>
</TABLE>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>


<!-- Field: Page; Sequence: 21 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->21<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right">&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; width: 4%; font-weight: bold; text-align: center">&#8226;</TD>
    <TD STYLE="vertical-align: bottom; width: 94%; font-weight: bold"><FONT STYLE="font-weight: normal">As of May 31, 2015, centrally cleared interest rate swaps outstanding were as follows (concluded):</FONT></TD>
    <TD STYLE="width: 2%; font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; padding-bottom: 2pt">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-left: 20pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Fixed<BR> Rate</TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Floating<BR> Rate</TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD NOWRAP STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Clearinghouse</TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Effective<BR> Date</TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Expiration<BR> Date</TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="5" STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Notional<BR> Amount<BR> (000)</TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Unrealized<BR> Appreciation<BR> (Depreciation)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 11%; text-align: center; padding-left: 0.1in">2.26%<SUP>3</SUP></TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 11%; text-align: center; text-indent: -0.1in; padding-left: 0.1in">3-Month LIBOR</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 11%; text-align: center">Chicago Mercantile</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 11%; text-align: center; text-indent: -0.1in; padding-left: 0.1in">N/A</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 11%; text-align: center">5/29/25</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 11%; text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 8%; text-align: right">3,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">21,674</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-left: 0.1in">2.23%<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">3-Month LIBOR</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center">Chicago Mercantile</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/01/15<SUP>2</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">6/01/25</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11,185</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-left: 0.1in">2.35%<SUP>1</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">3-Month LIBOR</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center">Chicago Mercantile</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/30/15<SUP>2</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">2/15/41</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,600</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">78,453</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-left: 0.1in">2.35%<SUP>1</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">3-Month LIBOR</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center">Chicago Mercantile</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/30/15<SUP>2</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">2/15/41</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,700</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">82,319</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-left: 0.1in">2.62%<SUP>1</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">3-Month LIBOR</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center">Chicago Mercantile</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">6/30/15<SUP>2</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">4/15/41</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(12,937</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-left: 0.1in">2.38%<SUP>1</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">3-Month LIBOR</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center">Chicago Mercantile</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">N/A</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">4/24/45</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,770</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">239,203</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-left: 0.1in">2.39%<SUP>1</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">3-Month LIBOR</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center">Chicago Mercantile</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">N/A</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">4/24/45</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,780</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(32,139</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-left: 0.1in">2.42%<SUP>1</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">3-Month LIBOR</TD><TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center">Chicago Mercantile</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: -0.1in; padding-left: 0.1in">N/A</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">4/24/45</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: right; text-indent: -0.1in; padding-left: 0.1in">USD</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,890</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">417,028</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-bottom: 1pt; padding-left: 0.1in; border-bottom: Black 1pt solid">2.42%<SUP>1</SUP></TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: center; padding-bottom: 1pt; text-indent: -0.1in; padding-left: 0.1in; border-bottom: Black 1pt solid">3-Month LIBOR</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; padding-bottom: 1pt; border-bottom: Black 1pt solid">Chicago Mercantile</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: center; padding-bottom: 1pt; text-indent: -0.1in; padding-left: 0.1in; border-bottom: Black 1pt solid">N/A</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: center; padding-bottom: 1pt; border-bottom: Black 1pt solid">4/24/45</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: right; padding-bottom: 1pt; text-indent: -0.1in; padding-left: 0.1in; border-bottom: Black 1pt solid">USD</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">4,560</TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">186,087</TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; padding-bottom: 1pt; text-align: center">Total</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD NOWRAP STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: center">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid">212,143</TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: right; width: 3%"><FONT STYLE="font-weight: normal"><SUP>1</SUP></FONT></TD>
    <TD STYLE="font-weight: bold; padding-left: 3pt"><FONT STYLE="font-weight: normal">&nbsp;Trust pays the fixed rate and receives the floating rate. </FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: right"><FONT STYLE="font-weight: normal"><SUP>2</SUP></FONT></TD>
    <TD STYLE="font-weight: bold; padding-left: 3pt"><FONT STYLE="font-weight: normal">&nbsp;Forward swap.</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: right"><FONT STYLE="font-weight: normal"><SUP>3</SUP></FONT></TD>
    <TD STYLE="font-weight: bold; padding-left: 3pt"><FONT STYLE="font-weight: normal">&nbsp;Trust pays the floating rate and receives the fixed rate. </FONT></TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 4%; font-weight: bold; text-align: center">&#8226;</TD>
    <TD STYLE="width: 96%; font-weight: bold"><FONT STYLE="font-weight: normal">As of May 31, 2015, OTC credit default swaps &#8211; buy protection outstanding were as follows:</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; padding-bottom: 2pt">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Issuer</TD>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Pay<BR>
Fixed<BR>
Rate</TD>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD NOWRAP STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Counterparty</TD>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Expiration<BR>
Date</TD>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Notional<BR>
Amount<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><BR>
Value</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Premiums<BR>
Paid</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Unrealized<BR>
Depreciation</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">Radian Group, Inc.</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: center; text-indent: -0.1in">5.00%</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-left: 0.1in; text-align: center; text-indent: -0.1in">Citibank N.A.</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">6/20/15</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">2,800</TD>
    <TD STYLE="text-align: left">$</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">(7,097)</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,791</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">(8,888)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">The New York Times Co.</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.00%</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-left: 0.1in; text-align: center; text-indent: -0.1in">Barclays Bank PLC</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">12/20/16</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">3,600</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">(44,485)</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">78,385</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">(122,870)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">Westpac Banking Corp.</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.00%</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">9/20/17</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">1</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">(9)</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">7</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">(16)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">Australia &amp; New Zealand Banking Group Ltd.</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.00%</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-left: 0.1in; text-align: center; text-indent: -0.1in">Deutsche Bank AG</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">9/20/17</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">1</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">(9)</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">7</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in">(16)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="border-top: Black 1pt solid; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="12" STYLE="border-top: Black 1pt solid; padding-top: 2pt"><B>Total</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; padding-top: 2pt; text-align: left; border-top: Black 1pt solid">$</TD>
    <TD STYLE="border-bottom: Black 1pt solid; padding-top: 2pt; text-align: right; border-top: Black 1pt solid">(51,600)</TD>
    <TD STYLE="border-bottom: Black 1pt solid; padding-top: 2pt; text-align: right; border-top: Black 1pt solid">$</TD>
    <TD STYLE="border-bottom: Black 1pt solid; padding-top: 2pt; text-align: right; border-top: Black 1pt solid">80,190</TD>
    <TD STYLE="border-bottom: Black 1pt solid; padding-top: 2pt; text-align: right; border-top: Black 1pt solid">$</TD>
    <TD STYLE="border-bottom: Black 1pt solid; padding-top: 2pt; text-align: right; border-top: Black 1pt solid">(131,790)</TD></TR>
<TR>
    <TD STYLE="width: 14px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 6px">&nbsp;</TD>
    <TD STYLE="width: 48px">&nbsp;</TD>
    <TD STYLE="width: 6px">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 102px">&nbsp;</TD>
    <TD STYLE="width: 6px">&nbsp;</TD>
    <TD STYLE="width: 18px">&nbsp;</TD>
    <TD STYLE="width: 50px">&nbsp;</TD>
    <TD STYLE="width: 6px">&nbsp;</TD>
    <TD STYLE="width: 36px">&nbsp;</TD>
    <TD STYLE="width: 6px">&nbsp;</TD>
    <TD STYLE="width: 42px; padding-right: 9pt">&nbsp;</TD>
    <TD STYLE="width: 12px; text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 12px; text-align: right">&nbsp;</TD>
    <TD STYLE="width: 60px">&nbsp;</TD>
    <TD STYLE="width: 12px; text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 4%; font-weight: bold; text-align: center">&#8226;</TD>
    <TD STYLE="width: 96%; font-weight: bold"><FONT STYLE="font-weight: normal">As of May 31, 2015, OTC credit default swaps &#8211; sold protection outstanding were as follows:</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; padding-bottom: 2pt">&nbsp;</TD></TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><B>&nbsp;</B></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt; text-align: left"><B>Issuer</B></TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><B>&nbsp;</B></TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><B>Receive<BR>
    Fixed<BR>
    Rate</B></TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><B>&nbsp;</B></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><B>Counterparty</B></TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><B>&nbsp;</B></TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; vertical-align: bottom; font-weight: bold; text-align: center; padding-top: 4pt; padding-bottom: 4pt"><B>Expiration<BR>
    Date</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><B>&nbsp;</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><B>Credit
    Rating<SUP>4</SUP></B></TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><B>&nbsp;</B></TD>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><B>Notional<BR>
    Amount<BR> (000)<SUP>5</SUP></B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: left; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><B>&nbsp;</B></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><B>Value</B></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><B>&nbsp;</B></TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; vertical-align: bottom; font-weight: bold; text-align: center; padding-top: 4pt; padding-bottom: 4pt"><B>Premiums<BR>
    Received</B></TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><B>&nbsp;</B></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><B>&nbsp;</B></TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><B>Unrealized<BR>
    Appreciation</B></TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">MetLife, Inc.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.00%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: center">Morgan Stanley Capital Services LLC</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">9/20/16</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">A-</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">1,810</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: left">$</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">19,365</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(38,918)</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">58,282</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">MetLife, Inc.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.00%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: center">Deutsche Bank AG</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">9/20/16</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">A-</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">1,460</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">15,620</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(32,012)</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">47,632</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">MetLife, Inc.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.00%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: center">Morgan Stanley Capital Services LLC</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">9/20/16</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">A-</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">550</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">5,884</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(10,548)</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">16,432</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">MetLife, Inc.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.00%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: center">Goldman Sachs Bank USA</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">9/20/16</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">A-</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">1,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">10,699</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(21,340)</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">32,039</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">MetLife, Inc.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.00%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: center">Credit Suisse International</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">9/20/16</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">A-</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">1,080</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">11,555</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(25,896)</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">37,451</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">MetLife, Inc.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.00%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: center">Citibank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">12/20/16</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">A-</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">595</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">7,261</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(13,495)</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">20,757</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">MetLife, Inc.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">1.00%</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: center">Citibank N.A.</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">12/20/16</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in">A-</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">USD</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 9pt">575</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,979</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(14,220)</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">21,199</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; padding-top: 2pt">&nbsp;</TD>
    <TD COLSPAN="17" STYLE="vertical-align: bottom; border-top: Black 1pt solid; padding-top: 2pt"><B>Total</B></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; vertical-align: bottom; padding-top: 2pt; text-align: left">$</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 2pt; text-align: right">77,363</TD>
    <TD COLSPAN="1" STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 2pt; text-align: right">$</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 2pt; text-align: right">(156,429)</TD>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 2pt; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 2pt; text-align: right">233,792</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="width: 105px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 2px">&nbsp;</TD>
    <TD STYLE="width: 2px">&nbsp;</TD>
    <TD STYLE="width: 1px">&nbsp;</TD>
    <TD STYLE="width: 41px">&nbsp;</TD>
    <TD STYLE="width: 5px">&nbsp;</TD>
    <TD STYLE="width: 7px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 19px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 34px">&nbsp;</TD>
    <TD STYLE="width: 1px">&nbsp;</TD>
    <TD STYLE="width: 7px">&nbsp;</TD>
    <TD STYLE="width: 3px">&nbsp;</TD>
    <TD STYLE="width: 54px">&nbsp;</TD>
    <TD STYLE="width: 7px">&nbsp;</TD>
    <TD STYLE="width: 1px">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="width: 59px">&nbsp;</TD>
    <TD STYLE="width: 5px">&nbsp;</TD>
    <TD STYLE="width: 10px; text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 4%; font-weight: bold; text-align: right"><FONT STYLE="font-weight: normal"><SUP>4</SUP></FONT></TD>
    <TD STYLE="width: 96%; font-weight: bold; padding-left: 3pt"><FONT STYLE="font-weight: normal">Using S&amp;P&#8217;s rating of the issuer.</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: right"><FONT STYLE="font-weight: normal"><SUP>5</SUP></FONT></TD>
    <TD STYLE="font-weight: bold; padding-left: 3pt"><FONT STYLE="font-weight: normal">The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. </FONT></TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>


<!-- Field: Page; Sequence: 22 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->22<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right">&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; width: 4%; font-weight: bold; text-align: center">&#8226;</TD>
    <TD STYLE="vertical-align: bottom; width: 94%">
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0"><FONT STYLE="font-weight: normal">As of May 31, 2015, OTC interest rate swaps
        outstanding were as follows:</FONT></P></TD>
    <TD STYLE="width: 2%; font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; padding-bottom: 2pt">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Fixed<BR>
Rate</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Floating<BR>
Rate</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Counterparty</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Effective<BR>
Date</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Expiration<BR>
Date</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Notional<BR>
Amount<BR>
(000)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><BR>
Value</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">Premiums<BR>
Paid<BR>
(Received)</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt; padding-right: 3px">
        <P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: center">Unrealized<BR>
        Appreciation</P>
        <P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: center">(Depreciation)</P></TD>
    <TD COLSPAN="2" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: center">0.00%<SUP>1</SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="vertical-align: bottom; text-align: center">3-Month LIBOR</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: center">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">3/23/17<SUP>2</SUP></TD>
    <TD STYLE="vertical-align: bottom; text-align: center">3/23/19</TD>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 6pt">5,000</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">$</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">11,914</TD>
    <TD STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">$</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">11,914</TD>
    <TD COLSPAN="2" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: center">0.00%<SUP>1</SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="vertical-align: bottom; text-align: center">3-Month LIBOR</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: center">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">9/26/17<SUP>2</SUP></TD>
    <TD STYLE="vertical-align: bottom; text-align: center">9/26/19</TD>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 6pt">21,000</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">60,599</TD>
    <TD STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">60,599</TD>
    <TD COLSPAN="2" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: center">0.00%<SUP>1</SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="vertical-align: bottom; text-align: center">3-Month LIBOR</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: center">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">1/30/17<SUP>2</SUP></TD>
    <TD STYLE="vertical-align: bottom; text-align: center">1/30/25</TD>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 6pt">2,500</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">19,966</TD>
    <TD STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">19,966</TD>
    <TD COLSPAN="2" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: center">0.00%<SUP>1</SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="vertical-align: bottom; text-align: center">3-Month LIBOR</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: center">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">5/19/25<SUP>2</SUP></TD>
    <TD STYLE="vertical-align: bottom; text-align: center">5/19/35</TD>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 6pt">5,000</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right">(19,860)</TD>
    <TD STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right">(19,860)</TD>
    <TD COLSPAN="2" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: center">0.00%<SUP>1</SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="vertical-align: bottom; text-align: center">3-Month LIBOR</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: center">JPMorgan Chase Bank N.A.</TD>
    <TD STYLE="vertical-align: bottom; text-align: center">5/21/25<SUP>2</SUP></TD>
    <TD STYLE="vertical-align: bottom; text-align: center">5/21/35</TD>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3pt">USD</TD>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 6pt">2,500</TD>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right">(978)</TD>
    <TD STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right">(978)</TD>
    <TD COLSPAN="2" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="14" STYLE="vertical-align: bottom; border-top: Black 1pt solid; text-align: left"><B>Total</B></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; border-top: Black 1pt solid; text-align: left">$</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; border-top: Black 1pt solid; text-align: right; padding-right: 3px">71,641</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; border-top: Black 1pt solid; text-align: center">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; border-top: Black 1pt solid; text-align: right">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; border-top: Black 1pt solid; text-align: center; padding-left: 9pt">$</TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; border-top: Black 1pt solid; text-align: right; padding-right: 3px">71,641</TD>
    <TD COLSPAN="2" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5px">&nbsp;</TD>
    <TD STYLE="width: 37px">&nbsp;</TD>
    <TD STYLE="width: 1px">&nbsp;</TD>
    <TD STYLE="width: 4px">&nbsp;</TD>
    <TD STYLE="width: 2px">&nbsp;</TD>
    <TD STYLE="width: 66px">&nbsp;</TD>
    <TD STYLE="width: 5px">&nbsp;</TD>
    <TD STYLE="width: 1px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: 3pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 42px; padding-right: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="padding-right: 3px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 6px; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="padding-right: 3px">&nbsp;</TD>
    <TD STYLE="width: 6px">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 4%; font-weight: bold; text-align: right"><FONT STYLE="font-weight: normal"><SUP>1</SUP></FONT></TD>
    <TD STYLE="width: 96%; font-weight: bold"><FONT STYLE="font-weight: normal">&nbsp;Trust pays the floating rate and receives the fixed rate.</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: right"><FONT STYLE="font-weight: normal"><SUP>2</SUP></FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-weight: normal">&nbsp;Forward swap.</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2">&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; text-align: center">&#8226;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom">For Trust compliance purposes, the Trust&#8217;s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.<BR>
<BR></TD></TR>
<TR>
    <TD STYLE="vertical-align: top; text-align: center">&#8226;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom">Fair Value Measurements &#8212; Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:<BR>
<BR></TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: top; width: 1%; text-align: center">&#8226;</TD>
    <TD STYLE="vertical-align: bottom; width: 98%">Level 1 &#8212; unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: top; text-align: center">&#8226;</TD>
    <TD STYLE="vertical-align: bottom">Level 2 &#8212; other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: top; text-align: center">&#8226;</TD>
    <TD STYLE="vertical-align: bottom">Level 3 &#8212; unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust's own assumptions used in determining the fair value of investments and derivative financial instruments)</TD></TR>
</TABLE>
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    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right">&nbsp;</TD></TR>
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<TR STYLE="vertical-align: bottom">
    <TD>Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust's policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Trust's policy regarding valuation of investments and derivative financial instruments, refer to the Trust's most recent financial statements as contained in its semi-annual report.<BR>
<BR>
As of May 31, 2015, the following tables summarize the Trust's investments and derivative financial instruments categorized in the disclosure hierarchy:<BR>
<BR></TD></TR>
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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<tr STYLE="vertical-align: bottom">
    <TD COLSPAN="17" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Level 1</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Level 2</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Level 3</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; padding-right: 3px">Total</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom">
    <TD COLSPAN="17" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="16" STYLE="vertical-align: bottom"><B>Assets:</B><SUP> </SUP>&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="16" STYLE="vertical-align: bottom">Investments:<SUP> </SUP></TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="16" STYLE="vertical-align: bottom">Long-Term Investments:</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom">Asset-Backed Securities</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">$</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">94,220,472</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">$</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">24,411,559</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">$</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">118,632,031</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom">Corporate Bonds<SUP> </SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">537,771,175</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">14,370,000</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">552,141,175</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom">Foreign Agency Obligations<SUP> </SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">18,688,609</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">18,688,609</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom">Municipal Bonds<SUP> </SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">24,471,331</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">24,471,331</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom">Non-Agency Mortgage-Backed Securities<SUP> </SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">137,149,540</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">9</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">137,149,549</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom">Preferred Securities<SUP> </SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">$</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">13,805,708</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">97,180,827</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">110,986,535</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom">U.S. Government Sponsored Agency Securities<SUP> </SUP><FONT STYLE="vertical-align: baseline"></FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">96,334,714</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">427</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">96,335,141</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom">U.S. Treasury Obligations<SUP> </SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">88,048,091</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">88,048,091</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom">Short-Term Securities</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">141,176</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">141,176</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom">Options Purchased:</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="vertical-align: baseline">Interest Rate Contracts</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">763,726</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-right: 3px">763,726</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="17" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; padding-bottom: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom"><B>Total</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid">$</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 3px">13,946,884</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">$</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 3px">1,094,628,485</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">$</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid">38,781,995</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">$</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 3px">1,147,357,364</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="17" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; padding-bottom: 2pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="17" STYLE="padding-bottom: 2pt; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom">
    <TD COLSPAN="17" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Level 1</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Level 2</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Level 3</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; padding-right: 3px">Total</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom">
    <TD COLSPAN="17" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="16" STYLE="vertical-align: bottom">Derivative Financial Instruments<SUP> 1</SUP></TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="16" STYLE="vertical-align: bottom"><B>Assets:</B><SUP> </SUP></TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit contracts</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">$</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">233,792</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">233,792</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Foreign currency exchange contracts</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">740,887</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">740,887</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Interest rate contracts</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">709,775</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">1,154,455</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">1,864,230</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="16" STYLE="vertical-align: bottom"><B>Liabilities:</B><SUP> </SUP></TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Credit contracts</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(131,790)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(131,790)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Foreign currency exchange contracts</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(1,248,161)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(1,248,161)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Interest rate contracts<SUP> </SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right">$</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(387,291)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(7,979,105)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(8,366,396)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="17" STYLE="padding-bottom: 2pt; font-family: Arial, Helvetica, Sans-Serif; font-weight: bold">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom"><B>Total</B></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid">$</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 3px">322,484</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">$</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid">(7,229,922)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">$</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid">(6,907,438)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="17" STYLE="padding-bottom: 12pt; font-family: Arial, Helvetica, Sans-Serif; font-weight: bold">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 13%; padding-right: 3px">&nbsp;</TD>
    <TD STYLE="width: 1%; padding-right: 3px">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 13%; padding-right: 3px">&nbsp;</TD>
    <TD STYLE="width: 1%; padding-right: 3px">&nbsp;</TD>
    <TD STYLE="width: 1%; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="width: 1%; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="width: 13%; padding-right: 3px">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 1%"><SUP>1</SUP></TD>
    <TD STYLE="vertical-align: bottom; width: 99%">Derivative financial instruments are swaps, financial futures contracts, forward foreign currency exchange contracts and options written. Swaps, financial futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>


<!-- Field: Page; Sequence: 24 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->24<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(continued)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right">&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 100%; padding-top: 12pt; font-weight: bold"><FONT STYLE="font-weight: normal">The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face amount, including accrued interest, for financial reporting purposes. As of May 31, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:</FONT><BR>
<SUP>&nbsp;</SUP>&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<tr STYLE="vertical-align: bottom">
    <TD COLSPAN="17" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Level 1</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Level 2</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: center">Level 3</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-weight: bold; text-align: center; padding-right: 3px">Total</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<tr STYLE="vertical-align: bottom">
    <TD COLSPAN="17" STYLE="font-size: 2pt; border-bottom: Black 1pt solid">&nbsp;</td></tr>
<TR>
    <TD COLSPAN="16" STYLE="vertical-align: bottom"><B>Assets:</B><SUP> </SUP>&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Cash<SUP> </SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">$</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">341,836</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">$</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">341,836</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Cash pledged as collateral for centrally cleared swaps<SUP> </SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">3,836,720</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">3,836,720</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Cash pledged as collateral for OTC derivatives<SUP> </SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">6,780,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">6,780,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Cash pledged for financial futures contracts<SUP> </SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">1,401,450</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">1,401,450</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Cash pledged for reverse repurchase agreements<SUP> </SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,544,000</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">2,544,000</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Foreign currency at value<SUP> </SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">2,218,754</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; padding-right: 3px">2,218,754</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="16" STYLE="vertical-align: bottom"><B>Liabilities:</B><SUP> </SUP>&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">Reverse repurchase agreements</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right">$</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(363,134,805)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 9pt; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">(363,134,805)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="17" STYLE="padding-bottom: 2pt; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom"><B>Total</B><SUP> </SUP></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">$</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid">17,122,760</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">$</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid">(363,134,805)</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&#8212;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; padding-left: 9pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid">$</TD>
    <TD STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid">(346,012,045)</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 1%; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="width: 1%; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="width: 13%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="width: 1%; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="width: 13%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; padding-left: 9pt">&nbsp;</TD>
    <TD STYLE="width: 13%; padding-right: 3px">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0">During the period ended May 31, 2015, there were no transfers between
Level 1 and Level 2.</P>


<!-- Field: Page; Sequence: 25 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-top: 2pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">BLACKROCK CORE BOND TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2015</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->25<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 61%; font: 8pt Arial, Helvetica, Sans-Serif; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif,sans-serif; color: navy">Schedule of Investments</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif,sans-serif; color: navy"> <FONT STYLE="font-size: 9pt">(concluded)</FONT> </FONT></TD>
    <TD STYLE="width: 39%; font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right; border-top: rgb(98,151,204) 10px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>BlackRock Core Bond Trust (BHK)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: navy; text-align: right">&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 100%; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif">A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:</FONT></TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="21">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: justify; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0; text-align: center"><B>&nbsp;</B></P><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0; text-align: center"><B>&nbsp;</B></P><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0; text-align: center"><B>Asset-Backed Securities</B></P></TD><TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0; text-align: center"><B>&nbsp;</B></P><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0; text-align: center"><B>&nbsp;</B></P><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0; text-align: center"><B>Corporate</B></P> <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0; text-align: center"><B>Bonds</B></P></TD><TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0; text-align: center"><B>&nbsp;</B></P><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0; text-align: center"><B>Non-Agency Mortgage-Backed Securities</B></P></TD><TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>U.S. Government Sponsored Agency Securities</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid; padding-top: 4pt; padding-bottom: 4pt"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0; text-align: center"><B>&nbsp;</B></P><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0; text-align: center"><B>&nbsp;</B></P><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0; text-align: center"><B>&nbsp;</B></P><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0; text-align: center"><B>Total</B></P></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: justify; padding-bottom: 9pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><B>Assets:</B></FONT></TD><TD STYLE="padding-bottom: 9pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 9pt">&nbsp;</TD><TD STYLE="text-align: right; padding-bottom: 9pt">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 9pt">&nbsp;</TD><TD STYLE="padding-bottom: 9pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 9pt">&nbsp;</TD><TD STYLE="text-align: right; padding-bottom: 9pt">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 9pt">&nbsp;</TD><TD STYLE="padding-bottom: 9pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 9pt">&nbsp;</TD><TD STYLE="text-align: right; padding-bottom: 9pt">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 9pt">&nbsp;</TD><TD STYLE="padding-bottom: 9pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 9pt">&nbsp;</TD><TD STYLE="text-align: right; padding-bottom: 9pt">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 9pt">&nbsp;</TD><TD STYLE="padding-bottom: 9pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 9pt">&nbsp;</TD><TD STYLE="text-align: right; padding-bottom: 9pt">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 9pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 35%; text-indent: -9pt; padding-left: 9pt">Opening Balance, as of August 31, 2014</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">6,755,839</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">8,777,320</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">&#8212;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">&#8212;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">15,533,159</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Transfers into Level 3</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&#8212;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&#8212;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&#8212;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&#8212;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&#8212;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -9pt; padding-left: 9pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif">Transfers out of Level 3<SUP>1 </SUP></FONT></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(6,237,350</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,409,020</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&#8212;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&#8212;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(8,646,370</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -9pt; padding-left: 9pt">Accrued discounts/premiums</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(153,166</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&#8212;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&#8212;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&#8212;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(153,166</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -9pt; padding-left: 9pt">Net realized gain</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(250,916</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,548,146</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">4</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">2</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,799,056</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif">Net change in unrealized appreciation (depreciation)<SUP>2 </SUP></FONT></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(250,487</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">174,520</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">427</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(75,531</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-indent: -9pt; padding-left: 9pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif">Purchases<SUP>3</SUP></FONT></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">24,557,677</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13,099,326</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&#8212;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&#8212;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">37,657,003</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-bottom: 1pt; text-indent: -9pt; padding-left: 9pt">Sales</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(10,038</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(3,724,000</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(4</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(2</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(3,734,044</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-bottom: 1pt"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0 0 0 9pt; text-indent: -9pt"><B>Closing Balance, as of </B></P> <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0"><B>May 31, 2015</B></P></TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">24,411,559</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">14,370,000</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">9</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">427</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">38,781,995</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif">Net change in unrealized appreciation (depreciation) on investments still held at May 31, 2015<SUP>2</SUP></FONT></TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; width: 1%">$</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(250,487</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(109,534</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">9</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">427</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(359,585</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 2%; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><SUP>1</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif">As of August 31, 2014, the Trust used significant unobservable inputs in determining the value of certain investments. As of May 31, 2015, the Trust used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $8,676,370 transferred from Level 3 to Level 2 in the disclosure hierarchy.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><SUP>2</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif">Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments held as of May 31, 2015 is generally due to investments no longer held or categorized as Level 3 at period end.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif"><SUP>3</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif">Includes investments acquired in the reorganization. </FONT></TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0">&nbsp;</P>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0 0 2pt">Certain of the Trust&#8217;s investments that are categorized
as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable
inputs. A significant change in third party information could results in a significantly lower or higher value of such Level 3
instruments.</P>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif,sans-serif; margin: 0">&nbsp;</P>

<!-- Field: Page; Sequence: 26 -->
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<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 10pt"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.6in; text-align: left">Item 2 &ndash;</TD><TD STYLE="text-align: justify">Controls and Procedures</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 10pt"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.6in; text-align: left">2(a) &ndash;</TD><TD STYLE="text-align: left">The registrant's principal executive and principal
financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures
(as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the &Prime;1940 Act&Prime;)) are effective
as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by
Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 10pt"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0; text-align: left"></TD><TD STYLE="width: 0.6in; text-align: left">2(b) &ndash;</TD><TD STYLE="text-align: left">There were no changes in the registrant's internal
control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's last fiscal
quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial
reporting.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 10pt"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.6in; text-align: left">Item 3 &ndash;</TD><TD STYLE="text-align: justify">Exhibits</TD>
</TR></TABLE>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 10pt; margin-left: 0.6in; text-indent: 0in; text-align: justify">Certifications
&ndash; Attached hereto</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 10pt; margin-left: 0.6in; text-indent: 0in; text-align: left">Pursuant
to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused
this report to be signed on its behalf by the undersigned, thereunto duly authorized.</P>



<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 10pt; margin-left: 0.6in; text-indent: 0in; text-align: justify">BlackRock
Core Bond Trust</P>



<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0.6in"></TD><TD STYLE="width: 0.6in; text-align: left">By:</TD><TD STYLE="text-align: justify"><U>/s/ John M. Perlowski</U></TD>
</TR></TABLE>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 1.2in; text-indent: 0in; text-align: justify">John
M. Perlowski</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 1.2in; text-indent: 0in; text-align: justify">Chief
Executive Officer (principal executive officer) of</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 10pt; margin-left: 1.2in; text-indent: 0in; text-align: justify">BlackRock
Core Bond Trust</P>



<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 10pt; margin-left: 0.6in; text-indent: 0in; text-align: justify">Date:
July 23, 2015</P>



<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 10pt; margin-left: 0.6in; text-indent: 0in; text-align: left">Pursuant
to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed
below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.</P>



<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0.6in"></TD><TD STYLE="width: 0.6in; text-align: left">By:</TD><TD STYLE="text-align: justify"><U>/s/ John M. Perlowski</U></TD>
</TR></TABLE>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 1.2in; text-indent: 0in; text-align: justify">John
M. Perlowski</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 1.2in; text-indent: 0in; text-align: justify">Chief
Executive Officer (principal executive officer) of</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 10pt; margin-left: 1.2in; text-indent: 0in; text-align: justify">BlackRock
Core Bond Trust</P>



<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 10pt; margin-left: 0.6in; text-indent: 0in; text-align: justify">Date:
July 23, 2015</P>



<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0.6in"></TD><TD STYLE="width: 0.6in; text-align: left">By:</TD><TD STYLE="text-align: justify"><U>/s/ Neal J. Andrews</U></TD>
</TR></TABLE>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 1.2in; text-indent: 0in; text-align: justify">Neal
J. Andrews</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 1.2in; text-indent: 0in; text-align: justify">Chief
Financial Officer (principal financial officer) of</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 10pt; margin-left: 1.2in; text-indent: 0in; text-align: justify">BlackRock
Core Bond Trust</P>



<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 10pt; margin-left: 0.6in; text-indent: 0in; text-align: justify">Date:
July 23, 2015</P>



<P STYLE="margin: 0"></P>

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</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>e65189ex99cert.htm
<DESCRIPTION>CERTIFICATION
<TEXT>
<HTML>
<HEAD>
     <TITLE></TITLE>
</HEAD>
<BODY STYLE="font: 10pt Times New Roman, Times, Serif">

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.25pt; text-indent: -0.25pt; background-color: White"><FONT STYLE="font-family: Times New Roman, Times, Serif; vertical-align: baseline"><B>EX-99.CERT</B></FONT></P>

<P STYLE="font: 11pt Cambria, Times, Serif; margin: 0; text-indent: 0in; background-color: White; border-bottom: Black 1pt solid; padding-bottom: 10pt"><FONT STYLE="font-family: Times New Roman, Times, Serif"><B>CERTIFICATION
PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE<BR>SARBANES-OXLEY ACT OF 2002</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt">I, John M. Perlowski, Chief Executive
Officer (principal executive officer) of BlackRock Core Bond Trust, certify that:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">1.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>I have reviewed this report on Form N-Q of BlackRock Core Bond Trust;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">2.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;</P>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">3.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;</P>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">4.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</P>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">a)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under
our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made
known to us by others within those entities, particularly during the period in which this report is being prepared;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">b)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>designed such internal control over financial reporting, or caused such internal control over financial reporting to be
designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation
of financial statements for external purposes in accordance with generally accepted accounting principles;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">c)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions
about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this
report, based on such evaluation; and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">d)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the
registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's
internal control over financial reporting; and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt">5.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>The registrant's other certifying officer(s) and I
have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing
the equivalent functions):</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">a)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and</P>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">b)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.</P>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: -41.75pt"><FONT STYLE="font-size: 11pt">Date:</FONT>
<FONT STYLE="font-size: 11pt">July 23, 2015</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: -41.75pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"><U>/s/ John M. Perlowski</U></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 0pt"></TD><TD>John M. Perlowski</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: -0.25pt">Chief Executive Officer (principal executive
officer) of<BR>
BlackRock Core Bond Trust</P>


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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.25pt; text-indent: -0.25pt; background-color: White"><FONT STYLE="font-family: Times New Roman, Times, Serif; vertical-align: baseline"><B>EX-99.CERT</B></FONT></P>

<P STYLE="font: 11pt Cambria, Times, Serif; margin: 0; text-indent: 0in; background-color: White; border-bottom: Black 1pt solid; padding-bottom: 10pt"><FONT STYLE="font-family: Times New Roman, Times, Serif"><B>CERTIFICATION
PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE<BR>SARBANES-OXLEY ACT OF 2002</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt">I, Neal J. Andrews, Chief Financial
Officer (principal financial officer) of BlackRock Core Bond Trust, certify that:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">1.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>I have reviewed this report on Form N-Q of BlackRock Core Bond Trust;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">2.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material
fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading
with respect to the period covered by this report;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">3.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the
investments of the registrant as of the end of the fiscal quarter for which the report is filed;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">4.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls
and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting
(as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">a)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under
our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made
known to us by others within those entities, particularly during the period in which this report is being prepared;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">b)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>designed such internal control over financial reporting, or caused such internal control over financial reporting to be
designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation
of financial statements for external purposes in accordance with generally accepted accounting principles;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">c)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions
about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this
report, based on such evaluation; and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">d)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the
registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's
internal control over financial reporting; and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">5.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of
the registrant's board of directors (or persons performing the equivalent functions):</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">a)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting
which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information;
and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">b)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's
internal control over financial reporting.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: -41.75pt"><FONT STYLE="font-size: 11pt">Date:</FONT>
<FONT STYLE="font-size: 11pt">July 23, 2015</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"><U>/s/ Neal J. Andrews</U></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 0pt"></TD><TD>Neal J. Andrews</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: -0.25pt">Chief Financial Officer (principal financial
officer) of<BR>
BlackRock Core Bond Trust</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: -0.25pt">&nbsp;</P>



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