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<SEC-DOCUMENT>0001171200-09-000483.txt : 20090724
<SEC-HEADER>0001171200-09-000483.hdr.sgml : 20090724
<ACCEPTANCE-DATETIME>20090724133822
ACCESSION NUMBER:		0001171200-09-000483
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20090531
FILED AS OF DATE:		20090724
DATE AS OF CHANGE:		20090724
EFFECTIVENESS DATE:		20090724

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			BLACKROCK DEBT STRATEGIES FUND, INC.
		CENTRAL INDEX KEY:			0001051003
		IRS NUMBER:				223564108
		STATE OF INCORPORATION:			MD
		FISCAL YEAR END:			1231

	FILING VALUES:
		FORM TYPE:		N-Q
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-08603
		FILM NUMBER:		09961778

	BUSINESS ADDRESS:	
		STREET 1:		100 BELLEVUE PARKWAY
		CITY:			WILMINGTON
		STATE:			DE
		ZIP:			19809
		BUSINESS PHONE:		800-441-7762

	MAIL ADDRESS:	
		STREET 1:		100 BELLEVUE PARKWAY
		CITY:			WILMINGTON
		STATE:			DE
		ZIP:			19809

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	BLACKROCK DEBT STRATEGIES FUND
		DATE OF NAME CHANGE:	20070611

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	DEBT STRATEGIES FUND
		DATE OF NAME CHANGE:	20030428

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	DEBT STRATEGIES FUND II INC
		DATE OF NAME CHANGE:	19971208
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-Q
<SEQUENCE>1
<FILENAME>i00233_dsu-nq.htm
<TEXT>
<html>
    <head>
        <title></title>
    </head>

    <body style="FONT-FAMILY: 'Times New Roman'" bgcolor="#ffffff">
        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; TEXT-ALIGN: center"><font size="2">UNITED STATES</font></p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; TEXT-ALIGN: center"><font size="2">SECURITIES AND EXCHANGE COMMISSION </font></p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; TEXT-ALIGN: center"><font size="2">Washington, D.C. 20549</font></p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; TEXT-ALIGN: left">&nbsp;</p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; TEXT-ALIGN: center"><b><font size="2">FORM N-Q</font></b></p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; TEXT-ALIGN: center">&nbsp;</p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; TEXT-ALIGN: center"><b><font size="2">QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY</font></b></p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; TEXT-ALIGN: center">&nbsp;</p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; TEXT-ALIGN: left"><font size="2">Investment Company Act file number 811-08603</font></p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; TEXT-ALIGN: left"><font size="2">Name of Fund: BlackRock Debt Strategies Fund, Inc. (DSU)</font></p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; TEXT-ALIGN: left"><font size="2">Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809</font></p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 7.69%; TEXT-INDENT: -7.69%; TEXT-ALIGN: left"><font size="2">Name and address of agent for service: Donald C. Burke, Chief Executive Officer, BlackRock Debt Strategies Fund, Inc., 800 Scudders Mill Road, Plainsboro, NJ, 08536. Mailing address: P.O. Box 9011, Princeton, NJ, 08543-9011</font></p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; TEXT-ALIGN: left"><font size="2">Registrant&rsquo;s telephone number, including area code: (800) 882-0052, Option 4</font></p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; TEXT-ALIGN: left"><font size="2">Date of fiscal year end: 02/28/2010</font></p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; TEXT-ALIGN: left"><font size="2">Date of reporting period: 05/31/2009</font></p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; TEXT-ALIGN: left"><font size="2">Item 1 &ndash; Schedule of Investments</font></p>
        <hr align="center" width="100%" noshade size="4">

        <p style="PAGE-BREAK-BEFORE: always" align="left"></p>
        <PAGE>


<!-- insert here -->

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="53%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="46%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3><B>BlackRock Debt Strategies Fund,
 Inc.</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Schedule
 of Investments May 31, 2009 (Unaudited)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="24%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="44%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Industry</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Corporate
 Bonds</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Par<BR>
 (000)</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Aerospace
 &amp; Defense - 0.4%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Hawker Beechcraft
 Acquisition Co. LLC, 8.50%, 4/01/15 </FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,200</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,344,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Auto
 Components - 0.7%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Allison Transmission,
 Inc., 11%, 11/01/15 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>320</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>249,600</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Allison Transmission,
 Inc., 11.25%, 11/01/15 (a)(b)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,020</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>683,400</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>The Goodyear Tire &amp;
 Rubber Co., 8.625%, 12/01/11</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>972,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Lear Corp., 8.75%,
 12/01/16</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>700</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>182,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Venture Holdings Co. LLC,
 12%, 6/01/09 (c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,450</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Venture Holdings Co. LLC
 Series B, 9.50%, 7/01/05 (c)(d)(e)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,800</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>180</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,087,680</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Building
 Products - 3.7%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Building Materials Corp.
 of America, 7.75%, 8/01/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,500,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>CPG International I, Inc.,
 8.561%, 7/01/12 (f)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,975,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>CPG International I, Inc.,
 10.50%, 7/01/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,300</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>682,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Momentive Performance
 Materials, Inc. Series WI, 9.75%, 12/01/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,600</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>608,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Ply Gem Industries, Inc.,
 11.75%, 6/15/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,220</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,700,800</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>11,466,300</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Capital
 Markets - 2.3%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>E*Trade Financial Corp.,
 12.50%, 11/30/17 (a)(b)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10,625</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,039,063</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Chemicals
 - 3.3%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>American Pacific Corp.,
 9%, 2/01/15</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,490</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,300,025</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>GEO Specialty Chemicals
 Corp., 7.50%, 3/31/15 (a)(b)(g)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,067</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,643,682</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>GEO Specialty Chemicals,
 Inc., 10%, 3/31/15 (a)(f)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,106</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,668,640</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Wellman Holdings, Inc.
 Second Lien Subordinate Note, 10%, 1/29/19 (a)(g)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,978</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,978,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Wellman Holdings, Inc.
 Third Lien Subordinate Note, 5%, 1/29/19 (a)(g)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>906</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>453,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10,043,347</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Commercial
 Services &amp; Supplies - 0.9%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>West Corp., 11%, 10/15/16</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,270</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,779,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Construction
 Materials - 0.9%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Nortek, Inc., 10%,
 12/01/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,070</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,987,825</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Nortek, Inc., 8.50%,
 9/01/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,850</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>755,250</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,743,075</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Containers
 &amp; Packaging - 2.6%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Berry Plastics Holding
 Corp., 4.504%, 9/15/14 (f)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>375</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>245,625</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Packaging Dynamics Finance
 Corp., 10%, 5/01/16 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,215</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,082,025</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Smurfit Kappa Funding Plc,
 7.75%, 4/01/15</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,325</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,261,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Smurfit-Stone Container
 Enterprises, Inc., 8.375%, 7/01/12 (c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,600</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>504,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Smurfit-Stone Container
 Enterprises, Inc., 8%, 3/15/17 (c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,600</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>845,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Wise Metals Group LLC,
 10.25%, 5/15/12 </FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,325</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,103,063</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2>8,040,713</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Diversified
 Consumer Services - 0.6%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>NBC Acquisition Corp.,
 11%, 3/15/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,875</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,937,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Diversified
 Financial Services - 5.8%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Archimedes Funding III
 Ltd., 5.50%, 11/29/11 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,744</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,067,728</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>FCE Bank Plc, 7.125%,
 1/16/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>EUR</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9,613,210</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>1</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3><B>BlackRock Debt Strategies Fund,
 Inc.</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Schedule
 of Investments May 31, 2009 (Unaudited)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="24%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="44%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Industry</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Corporate
 Bonds</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Par<BR>
 (000)</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Ford Motor Credit Co. LLC,
 3.889%, 1/13/12 (f) </FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,680</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,117,200</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>GMAC LLC, 6.875%, 9/15/11
 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>900</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>805,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>GMAC LLC, 6.75%, 12/01/14
 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,690</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,081,150</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>GMAC LLC, 8%, 11/01/31 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>460</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>345,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>18,029,788</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Diversified
 Telecommunication Services - 2.1%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Nordic Telephone Co.
 Holdings ApS, 8.875%, 5/01/16 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,600</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,600,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Qwest Corp., 8.375%,
 5/01/16 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,930,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,530,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Electric
 Utilities - 0.4%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>NSG Holdings LLC, 7.75%,
 12/15/25 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,505</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,211,525</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Electronic
 Equipment, Instruments &amp; Components - 0.0%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Muzak Holdings, LLC, 13%,
 3/15/10 (c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,675</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>133,750</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Food
 &amp; Staples Retailing - 0.2%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Supervalu, Inc., 8%,
 5/01/16</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>490,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Health
 Care Equipment &amp; Supplies - 1.1%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>DJO Finance LLC, 10.875%,
 11/15/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,250</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,485,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Health
 Care Providers &amp; Services - 1.0%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Community Health Systems,
 Inc. Series WI, 8.875%, 7/15/15</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,010</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,976,137</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Hotels,
 Restaurants &amp; Leisure - 4.5%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>HRP Myrtle Beach Holdings
 LLC, 14.50%, 4/01/14 (a)(b)(c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,892</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8,614</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>HRP Myrtle Beach
 Operations LLC, 7.383%, 4/01/12 (a)(c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>50,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>HRP Myrtle Beach
 Operations LLC, 12.50%, 4/01/13 (a)(c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,250</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Harrah&#146;s Operating Co.,
 Inc., 10%, 12/15/15 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,160</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>788,800</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Harrah&#146;s Operating Co.,
 Inc., 10%, 12/15/18 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,377</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,586,648</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Harrah&#146;s Operating Co.,
 Inc., 10%, 12/15/18 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,863</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,578,553</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Little Traverse Bay Bands
 of Odawa Indians, 10.25%, 2/15/14 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,560</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,107,200</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>MGM Mirage, 10.375%,
 5/15/14 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>800</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>824,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>MGM Mirage, 11.125%,
 11/15/17 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,340</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,403,650</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Shingle Springs Tribal
 Gaming Authority, 9.375%, 6/15/15 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,370</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>794,600</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Snoqualmie Entertainment
 Authority, 5.384%, 2/01/14 (a)(f)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,015</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>530,338</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Travelport LLC, 5.293%,
 9/01/14 (f)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,160</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,080,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Tropicana Entertainment
 LLC Series WI, 9.625%, 12/15/14 (c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>530</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,650</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Tunica-Biloxi Gaming
 Authority, 9%, 11/15/15 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,860</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,613,550</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Universal City Florida
 Holding Co. I, 5.778%, 5/01/10 (f)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,430,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>13,804,853</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Household
 Durables - 0.6%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>KB Home, 6.375%, 8/15/11</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,170</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,123,200</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Stanley-Martin Communities
 LLC, 9.75%, 8/15/15</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,250</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>697,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,820,700</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>2</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3><B>BlackRock Debt Strategies Fund,
 Inc.</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Schedule
 of Investments May 31, 2009 (Unaudited)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="24%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="44%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Industry</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Corporate
 Bonds</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Par<BR>
 (000)</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>IT
 Services - 0.4%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>First Data Corp., 9.875%,
 9/24/15 </FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>425</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>289,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>First Data Corp., 11.25%,
 3/31/16 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,800</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>972,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,261,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Independent
 Power Producers &amp; Energy Traders - 1.6%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Calpine Construction
 Finance Co. LP, 8%, 6/01/16 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,250</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,189,062</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Energy Future Holdings
 Corp., 11.25%, 11/01/17 (b)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,392</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,748,654</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Texas Competitive Electric
 Holdings Co. LLC, 10.25%, 11/01/15</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,800</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,066,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Texas Competitive Electric
 Holdings Co. LLC, 11.25%, 11/01/16 (b)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,535</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>991,578</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,995,794</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Industrial
 Conglomerates - 1.5%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Sequa Corp., 11.75%,
 12/01/15 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,100</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,269,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Sequa Corp., 13.50%,
 12/01/15 (a)(b)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,291</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,360,481</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,629,981</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Insurance
 - 0.9%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Alliant Holdings I, Inc.,
 11%, 5/01/15 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,862,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USI Holdings Corp.,
 4.758%, 11/15/14 (a)(f)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,630</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>892,425</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,754,925</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Machinery
 - 2.0%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>ESCO Corp., 4.504%,
 12/15/13 (a)(f)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,070</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,210,400</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Ingersoll-Rand Global
 Holding Co. Ltd., 9.50%, 4/15/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>960</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,040,501</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>RBS Global, Inc., 9.50%,
 8/01/14 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>660</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>551,100</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>RBS Global, Inc., 8.875%,
 9/01/16</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,685</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,221,625</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Titan International, Inc.,
 8%, 1/15/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,530</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,315,800</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,339,426</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Marine -
 0.2%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Navios Maritime Holdings,
 Inc., 9.50%, 12/15/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>465</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>355,725</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Titan Petrochemicals Group
 Ltd., 8.50%, 3/18/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,760</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>369,600</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>725,325</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Media -
 6.3%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Affinion Group, Inc.,
 10.125%, 10/15/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,080</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,015,200</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>CSC Holdings, Inc., 8.50%,
 4/15/14 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>680</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>676,600</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Canadian Satellite Radio
 Holdings, Inc., 12.75%, 2/15/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,175,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Charter Communications
 Holdings LLC, 10%, 4/01/09 (c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,402</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>12,010</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Charter Communications
 Holdings LLC, 11.125%, 1/15/11 (c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,319</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>65,950</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Charter Communications
 Holdings LLC, 10%, 5/15/11 (c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,978</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9,890</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Intelsat Corp., 9.25%,
 8/15/14 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,342,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Local Insight Regatta
 Holdings, Inc., 11%, 12/01/17</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,665</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>719,550</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Network Communications,
 Inc., 10.75%, 12/01/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>20</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Nielsen Finance LLC,
 11.625%, 2/01/14 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,950,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>TL Acquisitions, Inc.,
 10.50%, 1/15/15 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,230</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,079,400</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Virgin Media, Inc., 6.50%,
 11/15/16 (a)(g)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,321,250</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>19,371,350</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Metals
 &amp; Mining - 2.2%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Aleris International,
 Inc., 9%, 12/15/14 (b)(c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,100</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>11,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Aleris International,
 Inc., 10%, 12/15/16 (c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,625</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>RathGibson, Inc., 11.25%,
 2/15/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,440</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,176,600</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Ryerson, Inc., 8.403%,
 11/01/14 (a)(f)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,720</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,704,400</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>3</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3><B>BlackRock Debt Strategies Fund,
 Inc.</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Schedule
 of Investments May 31, 2009 (Unaudited)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
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<P>&nbsp;</P>
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<P>&nbsp;</P>
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<P>&nbsp;</P>
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<P>&nbsp;</P>
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<P>&nbsp;</P>
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<P>&nbsp;</P>
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<P>&nbsp;</P>
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<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
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<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
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<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Industry</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Corporate
 Bonds</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Par<BR>
 (000)</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Teck Resources Ltd.,
 10.75%, 5/15/19 (a) </FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,875</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,928,906</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,826,531</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Oil, Gas
 &amp; Consumable Fuels - 2.7%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Chesapeake Energy Corp.,
 9.50%, 2/15/15</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,645</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,624,437</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Compton Petroleum Finance
 Corp., 7.625%, 12/01/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,220</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,110,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Denbury Resources, Inc.,
 9.75%, 3/01/16</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,875</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,912,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Forest Oil Corp., 8.50%,
 2/15/14 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,265</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,185,725</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>SandRidge Energy, Inc.,
 4.833%, 4/01/14 (f)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,580,618</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8,413,280</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Paper
 &amp; Forest Products - 5.1%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Abitibi-Consolidated,
 Inc., 4.82%, 6/15/11 (c)(d)(f)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>617,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Ainsworth Lumber Co. Ltd.,
 11%, 7/29/15 (a)(b)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10,017</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,742,189</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Georgia-Pacific LLC,
 8.25%, 5/01/16 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,950</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,905,750</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>NewPage Corp., 7.278%,
 5/01/12 (f)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,880,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>NewPage Corp., 10%,
 5/01/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,720</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,523,200</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>NewPage Corp., 12%,
 5/01/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,325</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,088,938</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Verso Paper Holdings LLC,
 11.50%, 7/01/14 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>550</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>505,824</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Verso Paper Holdings LLC
 Series B, 4.778%, 8/01/14 (f)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,400</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,376,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>15,639,401</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Pharmaceuticals
 - 2.2%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Angiotech Pharmaceuticals,
 Inc., 4.418%, 12/01/13 (f)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,600,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Elan Finance Plc, 7.75%,
 11/15/11</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,525</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,172,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,772,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Real
 Estate Investment Trusts (REITs) - 0.3%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>RAIT Financial Trust,
 6.875%, 4/15/27 (a)(g)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>945,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Real
 Estate Management &amp; Development - 1.1%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Realogy Corp., 10.50%,
 4/15/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,690</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,091,075</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>&nbsp;</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Realogy Corp., 12.375%,
 4/15/15</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,053</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,263,250</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,354,325</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Semiconductors
 &amp; Semiconductor Equipment - 0.7%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Spansion, Inc., 4.386%,
 6/01/13 (a)(c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,370</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,123,100</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Software
 - 0.1%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>BMS Holdings, Inc.,
 9.224%, 2/15/12 (a)(b)(f)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,555</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>187,120</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Specialty
 Retail - 3.4%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>General Nutrition Centers,
 Inc., 6.404%, 3/15/14 (b)(f)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,835</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,338,875</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>General Nutrition Centers,
 Inc., 10.75%, 3/15/15</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,480</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,864,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Michaels Stores, Inc.,
 10%, 11/01/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,240</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,612,800</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Michaels Stores, Inc.,
 11.375%, 11/01/16</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,785</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,517,825</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>United Auto Group, Inc.,
 7.75%, 12/15/16</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,380</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,062,600</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10,396,100</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Wireless
 Telecommunication Services - 4.7%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Cricket Communications,
 Inc., 7.75%, 5/15/16 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,250</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,174,063</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Crown Castle International
 Corp., 9%, 1/15/15</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>385</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>388,850</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Digicel Group Ltd.,
 8.875%, 1/15/15 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,560</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,848,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Digicel Group Ltd.,
 9.125%, 1/15/15 (a)(b)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,248</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,508,480</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>MetroPCS Wireless, Inc.,
 9.25%, 11/01/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,003,750</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>4</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3><B>BlackRock Debt Strategies Fund,
 Inc.</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Schedule
 of Investments May 31, 2009 (Unaudited)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="24%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="44%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Industry</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Corporate
 Bonds</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Par<BR>
 (000)</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>MetroPCS Wireless, Inc.,
 9.25%, 11/01/14 (a) </FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,100</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,100,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Orascom Telecom Finance
 SCA, 7.875%, 2/08/14 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>755</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>619,100</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>14,642,243</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Total
 Corporate Bonds - 66.5%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>205,340,332</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Floating
 Rate Loan Interests</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Aerospace
 &amp; Defense - 0.2%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>IAP Worldwide Services,
 Inc. Term Loan (First Lien), 7.25%, 12/30/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,052</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>641,688</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Airlines
 - 0.9%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Delta Air Lines, Inc. Credit-
 Linked Deposit Loan, 0.166% - 2.414%, 4/30/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,960</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,659,467</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>US Airways Group, Inc.
 Loan, 2.809%, 3/21/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,197</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,184,141</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,843,608</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Auto
 Components - 3.0%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Allison Transmission, Inc.
 Term Loan, 3.12% - 3.15%, 8/07/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,501</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,784,863</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Dana Holding Corp. Term
 Advance, 7.25%, 1/31/15</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,922</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,381,514</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Goodyear Tire &amp; Rubber
 Co., The Loan (Second Lien), 2.07%, 4/30/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,050</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>877,899</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Intermet Corp. First Lien
 Credit Facility, 6.293%, 11/08/10 (c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,214</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>485,591</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Intermet Corp. Letter of
 Credit, 5.12%, 11/09/10 (c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,090</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>435,856</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Intermet Corp. Synth
 Letter of Credit, 6.293%, 11/09/10 (b)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>83</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>33,199</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Intermet Corp. Term Loan
 B, 6.239%, 11/08/10 (b)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>360</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>143,866</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Metaldyne Co. LLC Deposit
 Funded Loan, 0.166% - 5.188%, 1/11/12 (c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>86</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10,298</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Metaldyne Co. LLC Initial
 Tranche B Term Loan, 6.188%, 1/13/14 (c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>592</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>70,455</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9,223,541</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Automobiles
 - 0.2%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>General Motors Corp.
 Secured Term Loan, 8%, 11/29/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>792</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>741,745</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Beverages
 - 0.1%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Culligan International Co.
 Loan (Second Lien), 5.694% - 6.561%, 4/24/13 EUR</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>376,400</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Building
 Products - 1.5%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Building Materials Corp.
 of America Term Loan Advance, 3.063%, 2/22/14 USD</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,970</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,504,794</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Stile Acquisition Corp.
 (aka Masonite) Canadian Term Loan, 6.75%, 4/06/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,955</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,000,291</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Stile U.S. Acquisition
 Corp. (aka Masonite) U.S. Term Loan, 6.25%, 4/06/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,976</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,011,325</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,516,410</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Chemicals
 - 4.3%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Ashland, Inc. Term Loan B,
 7.65%, 5/13/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>998,750</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Nalco Co. Term Loan B,
 6.50%, 5/06/16</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,725</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,728,234</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>PQ Corp. (fka Niagara
 Acquisition, Inc.) Loan (Second Lien), 7.54%, 7/30/15</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,291,663</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>PQ Corp. (fka Niagara
 Acquisition, Inc.) Term Loan (First Lien), 4.29% - 4.47%, 7/31/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,985</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,498,675</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Solutia Inc. Loan, 7.25%,
 2/28/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,225</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,597,681</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>13,115,003</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>5</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3><B>BlackRock Debt Strategies Fund,
 Inc.</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Schedule
 of Investments May 31, 2009 (Unaudited)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="24%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="44%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Industry</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Floating
 Rate Loan Interests</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Par<BR>
 (000)</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Commercial
 Services &amp; Supplies - 0.3%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>John Maneely Co. Term
 Loan, 3.599% - 4.389%, 12/09/13 </FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,273</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>996,259</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Communications
 Equipment - 0.3%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Safenet, Inc. Term Loan
 (First Lien), 2.849%, 4/12/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>982</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>757,753</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Computers
 &amp; Peripherals - 0.3%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Intergraph Corp. Second
 Lien Term Loan, 6.316% - 6.664%, 11/28/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>875,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Construction
 Materials - 0.4%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Headwaters Inc. Term Loan B1
 (First Lien), 6.22%, 4/30/11</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,846</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,199,695</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Containers
 &amp; Packaging - 0.3%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Smurfit-Stone Container
 DIP Term Loan, 10%, 7/28/10</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,053</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,062,459</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Distributors
 - 0.2%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Keystone Automotive
 Operations, Inc. Loan, 3.835% - 5.75%, 1/12/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,660</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>746,926</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Diversified
 Consumer Services - 1.3%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Coinmach Corp. Term Loan,
 3.31% - 3.76%, 11/14/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,197</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,950,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Diversified
 Financial Services - 0.1%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>J.G. Wentworth, LLC Loan
 (First Lien), 3.47%, 4/04/14 (c)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>346,668</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Diversified
 Telecommunication Services - 0.9%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Hawaiian Telcom
 Communications, Inc. Tranche C Term Loan, 4.75%, 5/30/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,517</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,281,235</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Paetec Communications Term
 Loan, 2.819%, 2/28/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>600</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>543,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,824,235</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Electrical
 Equipment - 0.1%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Generac Acquisition Corp.
 First Lien Term Loan, 2.911%, 11/10/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>427</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>293,364</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Energy
 Equipment &amp; Services - 1.1%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Dresser, Inc. Term B Loan,
 3.104%, 5/04/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>162</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>140,244</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Dresser, Inc. Term Loan
 (Second Lien), 6.085%, 5/04/15</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,521,875</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>MEG Energy Corp. Delayed
 Draw Term Loan, 3.22%, 4/02/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,236</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,064,452</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>MEG Energy Corp. Initial
 Term Loan, 3.22%, 4/03/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>700</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>602,936</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,329,507</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Food
 &amp; Staples Retailing - 0.3%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>DS Waters of America, Inc.
 Term Loan, 4.335%, 10/29/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>685,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>McJunkin Corp. Term Loan,
 4.47%, 1/31/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>350</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>311,850</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>996,850</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Food
 &amp; Tobacco - 0.2%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>WM. Bolthouse Farms, Inc.
 Second Lien Term Loan, 5.819%, 12/16/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>750</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>571,875</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Food
 Products - 1.0%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Dole Food Co., Inc.
 Credit-Linked Deposit, 1.139%, 4/12/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>288</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>285,986</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Dole Food Co., Inc.
 Tranche B Term Loan, 7.25% - 8%, 4/12/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>505</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>501,222</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Solvest, Ltd. (Dole)
 Tranche C Term Loan, 7.25% - 8%, 4/12/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,882</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,867,597</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Sturm Foods, Inc. Initial
 Term Loan Second Lien, 7.125%, 7/31/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,250</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>493,750</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,148,555</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Health
 Care Equipment &amp; Supplies - 1.0%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>DJO Finance LLC (ReAble
 Therapeutics Fin LLC) Term Loan, 3.319% - 4.22%, 5/20/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,456</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,051,869</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Health
 Care Providers &amp; Services - 3.4%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>CCS Medical, Inc. (Chronic
 Care) Term Loan (First Lien), 4.97%, 9/30/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>469</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>214,078</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>6</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3><B>BlackRock Debt Strategies Fund,
 Inc.</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Schedule
 of Investments May 31, 2009 (Unaudited)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="24%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="44%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Industry</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Floating
 Rate Loan Interests</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Par<BR>
 (000)</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>CHS/Community Health
 Systems, Inc. Funded Term Loan, 2.569%, 7/25/14 </FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,442</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,166,671</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>DaVita, Inc. Term Loan B,
 1.82%, 10/05/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>925</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>863,863</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Fresenius AG Term Loan B1,
 6.75%, 7/06/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>405</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>404,696</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Fresenius AG Term Loan B2,
 6.75%, 7/06/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>285</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>284,786</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>HCA Inc. Tranche A-1 Term
 Loan, 2.97%, 11/17/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,173</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,522,945</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Rotech Healthcare, Inc. Term
 Loan B, 6.319%, 9/26/11</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,740</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,122,135</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10,579,174</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Hotels,
 Restaurants &amp; Leisure - 2.2%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Golden Nugget, Inc. Second
 Lien Term Loan, 3.57%, 12/31/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>360,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Green Valley Ranch Gaming,
 LLC Second Lien Term Loan, 3.599%, 8/16/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>750</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>75,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Harrah&#146;s Operating Co.,
 Inc. Term B-1 Loan, 3.319% - 4.092%, 1/28/15</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>550</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>422,570</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Harrah&#146;s Operating Co.,
 Inc. Term B-2 Loan, 3.319% - 4.092%, 1/28/15</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>693</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>531,108</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Harrah&#146;s Operating Co.,
 Inc. Term B-3 Loan, 3.286% - 4.092%, 1/28/15</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>489</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>375,618</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Las Vegas Sands, LLC
 Delayed Draw I Term Loan, 2.07%, 5/23/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>416</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>297,445</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Las Vegas Sands, LLC
 Tranche B Term Loan, 2.07%, 5/23/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,272</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>910,004</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>QCE, LLC (Quiznos) Term Loan
 (Second Lien), 6.982%, 11/05/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,860,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>VML U.S. Finance LLC (aka
 Venetian Macau) New Project Term Loan, 2.57%, 5/25/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>834,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>VML U.S. Finance LLC (aka
 Venetian Macau) Term B Delayed Draw Project Loan, 2.57%, 5/25/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,279</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,066,364</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>VML U.S. Finance LLC (aka
 Venetian Macau) Term B Funded Project Loan, 2.57%, 5/27/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>221</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>184,652</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,916,761</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Household
 Durables - 0.8%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>American Residential
 Services LLC Term Loan (Second Lien), 10%, 4/17/15</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,045</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,618,071</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>IT
 Services - 1.9%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Audio Visual Services
 Group, Inc. Loan (Second Lien), 7.72%, 8/28/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,020</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>64,593</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Ceridian Corp U.S. Term
 Loan, 3.316%, 11/09/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,460</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,547,554</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>First Data Corp. Initial
 Tranche B-2 Term Loan, 3.059% - 3.069%, 9/24/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>972</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>712,979</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>RedPrairie Corp. Term
 Loan, 3.688% - 5.25%, 7/20/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>780</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>561,414</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>RedPrairie Corp. Term
 Loan, 4.313% - 5.25%, 7/20/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>260</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>187,420</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>SunGard Data Systems Inc.
 (Solar Capital Corp.) New U.S. Term Loan, 2.071%, 2/28/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,075</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,881,506</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,955,466</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>7</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3><B>BlackRock Debt Strategies Fund,
 Inc.</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Schedule
 of Investments May 31, 2009 (Unaudited)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=2><B>(Percentages
 shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="24%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="44%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Industry</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Floating
 Rate Loan Interests</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Par<BR>
 (000)</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Independent
 Power Producers &amp; Energy Traders - 0.7%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Texas Competitive Electric
 Holdings Co., LLC (TXU) Initial Tranche B-2 Term Loan, 3.819% - 3.882%,
 10/10/14 </FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,955</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,034,483</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Texas Competitive Electric
 Holdings Co., LLC (TXU) Initial Tranche B-3 Term Loan, 3.819% - 3.882%,
 10/10/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>199</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>136,010</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,170,493</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Industrial
 Conglomerates - 0.3%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Sequa Corp. Term Loan,
 3.61% - 4.08%, 12/03/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,394</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,048,673</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Insurance
 - 0.2%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Alliant Holdings I, Inc.
 Term Loan, 4.232%, 8/21/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>598</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>508,709</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Internet
 &amp; Catalog Retail - 0.4%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>FTD Group, Inc. Tranche B
 Term Loan, 6.75%, 8/04/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,416</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,359,545</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Life
 Sciences Tools &amp; Services - 0.4%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Life Technologies Corp.
 Term B Facility, 5.25%, 11/20/15</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,250</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,246,719</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Machinery
 - 2.4%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Navistar International
 Corp. Revolving Credit-Linked Deposit, 0.166% - 3.569%, 1/19/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,867</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,556,667</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Navistar International
 Corp. Term Advance, 3.569%, 1/19/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,133</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,280,836</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Oshkosh Truck Corp. Term B
 Loan, 7.15% - 7.32%, 12/06/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,695</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,451,014</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,288,517</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Media -
 9.9%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Affinion Group Holdings,
 Inc. Loan, 9.273%, 3/01/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,600,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Cengage Learning
 Acquisitions, Inc. (Thomson Learning) Tranche 1 Incremental Term Loan, 7.50%,
 7/03/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,217</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,083,417</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Cequel Communications, LLC
 (aka Cebridge) Term Loan, 2.349% - 2.401%, 11/05/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,566</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,411,446</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Cequel Communications, LLC
 Tranche B Term Loan (Second Lien), 6.411%, 5/05/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,691</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,583,526</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Charter Communications Term
 Loan B1, 7.934%, 3/25/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,770</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,718,374</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>EB Sports Corp Loan,
 7.57%, 5/01/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,658</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,863,050</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Ellis Communications KDOC,
 LLC Loan, 10%, 12/30/11</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,303</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,764,771</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>HMH Publishing Co. Ltd.
 (fka Education Media) Mezzanine, 4.66%, 11/14/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>19,448</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,889,508</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>HMH Publishing Co. Ltd.
 (fka Education Media) Tranche A Term Loan, 7.66%, 6/12/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,060</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,604,985</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Lavena Holding 3 GmbH
 (Prosiebensat.1 Media AG) Facility B1, 4.589%, 6/30/15</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>EUR</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>337</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>111,759</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Lavena Holding 3 GmbH (Prosiebensat.1
 Media AG) Facility C1, 4.839%, 6/30/16</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>674</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>223,518</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Multicultural Radio
 Broadcasting, Inc. Term Loan, 3.164%, 12/18/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>409</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>259,556</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Newsday, LLC Fixed Rate
 Term Loan, 9.75%, 8/01/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,250</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,239,375</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Penton Media, Inc. Loan
 (Second Lien), 6.039%, 2/01/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>96,250</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>30,449,535</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Metals
 &amp; Mining - 0.2%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Euramax International,
 Inc. Domestic Loan (Second Lien), 13%, 6/29/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,679</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>50,382</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>8</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3><B>BlackRock Debt Strategies Fund,
 Inc.</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Schedule
 of Investments May 31, 2009 (Unaudited)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=2><B>(Percentages
 shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="24%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="44%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Industry</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Floating
 Rate Loan Interests</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Par<BR>
 (000)</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Euramax International,
 Inc. Domestic Loan (Second Lien), 13%, 6/29/13 </FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>833</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>24,993</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Euramax International,
 Inc. Domestic Term Loan, 8.75%, 6/29/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,447</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>619,999</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>695,374</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Multi-Utilities
 - 0.7%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Energy Transfer Equity, LP
 Term Loan, 2.706%, 11/01/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>750</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>709,375</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>FirstLight Power
 Resources, Inc. (fka NE Energy, Inc.) Second Lien Term Loan, 5.75%, 5/01/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>750</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>519,375</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>USPF Holdings, LLC Term
 Loan, 2.085%, 4/11/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>918</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>798,711</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,027,461</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Multiline
 Retail - 0.4%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Dollar General Corp.
 Tranche B-2 Term Loan, 3.069% - 3.07%, 7/07/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,250</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,142,858</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Oil, Gas
 &amp; Consumable Fuels - 2.9%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Big West Oil, LLC Delayed
 Advance Loan, 6.50%, 5/15/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>962</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>755,563</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Big West Oil, LLC Initial
 Advance Loan, 6.50%, 5/15/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>810</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>635,794</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>ScorpionDrilling Ltd. Loan
 (Second Lien), 8.72%, 5/08/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,600,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>ScorpionDrilling Ltd.
 Second Lien, 8.72%, 5/08/14</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,200,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Turbo Beta Ltd. Dollar
 Facility, 14.50%, 3/15/18</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,033</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,826,244</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9,017,601</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Other -
 0.4%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Lamar Advertising Co. Term
 Loan B, 5.50%, 9/28/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,225</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,206,625</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Paper
 &amp; Forest Products - 0.4%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Georgia-Pacific LLC Term B
 Loan, 2.319%, 12/20/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,055</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>977,589</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Verso Paper Finance
 Holdings LLC Loan, 7.278% - 8.028%, 2/01/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,861</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>193,041</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,170,630</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Pharmaceuticals
 - 0.3%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Warner Chilcott Co., Inc.
 Tranche B Acquisition Date Term Loan, 2.319%, 1/18/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>740</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>699,998</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Warner Chilcott Corp.
 Tranche C Acquisition Date Term Loan, 2.139%, 1/18/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>260</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>245,502</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>945,500</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Real
 Estate Management &amp; Development - 0.3%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Enclave First Lien Term
 Loan, 6.14%, 3/01/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>600,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Georgian Towers Term Loan,
 6.14%, 3/01/12 </FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>420,116</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,020,116</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Software
 - 0.7%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Aspect Software, Inc. Loan
 (Second Lien), 7.375%, 7/11/12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,170,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Specialty
 Retail - 0.3%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Adesa, Inc. (KAR Holdings,
 Inc.) Initial Term Loan, 2.57% - 3.47%, 10/20/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>856,250</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Wireless
 Telecommunication Services - 0.3%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Cricket Communications,
 Inc. (aka Leap Wireless) Term B Loan, 5.75%, 6/16/13</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>784</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>787,773</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Total
 Floating Rate Loan Interests - 47.5%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>146,791,261</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Non-U.S.
 Government Agency<BR>
 Mortgage-Backed Securities</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Commercial
 Mortgage-Backed Securities - 2.1%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Crown Castle Towers LLC
 Series 2005-1A Class AFL, 0.699%, 6/15/35 (a)(f)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,005</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,854,750</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>9</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3><B>BlackRock Debt Strategies Fund,
 Inc.</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Schedule
 of Investments May 31, 2009 (Unaudited)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=2><B>(Percentages
 shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="24%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="44%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" HEIGHT=1 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Industry</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Non-U.S.
 Government Agency<BR>
 Mortgage-Backed Securities</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Par<BR>
 (000)</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Crown Castle Towers LLC
 Series 2005-1A Class AFX, 4.643%, 6/15/35 (a)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,555</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,466,125</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Total
 Non-U.S. Government Agency Mortgage-Backed Securities -2.1%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,320,875</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Common
 Stocks</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Shares</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Airlines
 - 0.0%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Delta Air Lines, Inc. (d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>14,829</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>86,156</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Building
 Products - 0.0%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Neenah Enterprises Inc.
 (d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>144,858</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>60,840</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Chemicals
 - 0.0%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>GEO Specialty Chemicals,
 Inc. (a)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>339,340</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>130,273</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>GenTek Inc. (d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>403</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9,466</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Wellman Holdings, Inc.
 (a)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,373</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,343</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>141,082</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Communications
 Equipment - 1.5%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Loral Space &amp;
 Communications Ltd. (d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>150,354</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,636,917</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Containers
 &amp; Packaging - 0.4%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Smurfit Kappa Plc</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>36,342</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>203,766</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Viskase Cos., Inc. (d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,428,423</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>928,475</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,132,241</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Diversified
 Financial Services - 0.0%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Preferred Term Securities
 VI, Ltd. (a)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>35,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>350</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Electrical
 Equipment - 0.1%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Medis Technologies Ltd.
 (d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>286,757</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>77,424</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>SunPower Corp. Class B (d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,892</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>125,822</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>203,246</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Hotels,
 Restaurants &amp; Leisure - 0.0%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Buffets Restaurants
 Holdings, Inc. (d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,752</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>28</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>HRP Corp. Class B
 (a)(b)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,000</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>50</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Lodgian, Inc. (d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>27,787</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>52,795</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>52,873</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Paper
 &amp; Forest Products - 1.2%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Ainsworth Lumber Co. Ltd.
 (d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,190,019</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,689,516</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Ainsworth Lumber Co. Ltd.
 (a)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,335,501</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,889,055</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Western Forest Products,
 Inc. (a)(d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>211,149</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>50,285</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,628,856</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Specialty
 Retail - 0.4%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Movie Gallery, Inc. (d)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>503,737</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,254,305</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Total
 Common Stocks -3.6%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>11,196,866</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Preferred
 Securities</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Capital
 Trusts</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Par<BR>
 (000)</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Diversified
 Financial Services - 0.3%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Citigroup, Inc. Series E,
 8.40% (c)(d)(f)(h)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>905</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>791,866</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Total
 Preferred Securities - 0.3%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>791,866</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Warrants
 (i)</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Shares</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Building
 Products - 0.0%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Neenah Enterprises Inc.
 (expires 9/30/13)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>130,547</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>48,302</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Chemicals
 - 0.0%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>GenTek Inc. Tranche C
 (expires 11/10/10)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>231</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>693</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Health
 Care Providers &amp; Services - 0.0%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>HealthSouth Corp. (expires
 1/16/14)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>126,761</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=2><B>Hotels,
 Restaurants &amp; Leisure - 0.0%</B></FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=2>Buffets Restaurants
 Holdings, Inc. (expires 4/29/14)</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,216</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12</FONT></P>
</TD>
<TD HEIGHT=1 VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD HEIGHT=1 VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>10</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="53%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="47%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3><B>BlackRock Debt Strategies Fund,
 Inc.</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Schedule
 of Investments May 31, 2009 (Unaudited)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="24%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="44%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1><B>Industry</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1><B>Warrants
 (i)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1><B>Shares</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Specialty
 Retail - 0.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Movie Gallery, Inc.
 (expires 5/15/15)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>62,323</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>31,162</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Total
 Warrants - 0.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>80,170</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Other
 Interests (j)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Beneficial <BR>
 Interest <BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Airlines
 - 0.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Delta Air Lines, Inc.
 Default 8.33% Escrow</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,505</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>34,406</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Delta Air Lines, Inc.
 Default 10% Escrow</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>26,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>60,656</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Hotels,
 Restaurants &amp; Leisure - 0.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Buffets, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,440</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>144</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Media -
 0.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Adelphia Escrow</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Adelphia Preferred Escrow</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Adelphia Recovery Trust</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9,406</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>37,624</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Adelphia Recovery Trust
 Series ACC-6B INT</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>50</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>38,425</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Specialty
 Retail - 0.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Movie Gallery, Inc.
 Default Escrow</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>21,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>217</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>

<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE="2"><B>Total Other Interests -
0.0%</B> </FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>99,442</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE="2"><B>Total Investments (Cost -
$637,972,095*) - 120.0%</B> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>370,620,812</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE="2"><B>Liabilities in Excess of
Other Assets - (20.0)%</B> </FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(61,892,383</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE="2"><B>Net Assets - 100.0%</B> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>308,728,429</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="89%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>*</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>The cost and unrealized
 appreciation (depreciation) of investments as of May 31, 2009, as computed
 for federal income tax purposes, were as follows:</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="60%" style='margin-left:10%'>
<TR style="font-size:1px">
<TD WIDTH="71%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="19%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Aggregate cost</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>639,356,308</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Gross unrealized
 appreciation</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8,126,655</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Gross unrealized
 depreciation</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(276,862,151</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Net unrealized
 depreciation</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(268,735,496</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="90%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(a)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Security exempt from
 registration under Rule 144A of the Securities Act of 1933. These securities
 may be resold in transactions exempt from registration to qualified
 institutional investors.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(b)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Represents a
 payment-in-kind security which may pay interest/dividends in additional
 par/shares. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(c)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Issuer filed for
 bankruptcy and/or is in default of interest payments.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(d)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Non-income producing
 security.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(e)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>As a result of bankruptcy
 proceedings, the company did not repay the principal amount of the security
 upon maturity.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(f)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Variable rate security.
 Rate shown is as of report date. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(g)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Convertible security.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(h)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Security is perpetual in
 nature and has no stated maturity date.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(i)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Warrants entitle the Fund
 to purchase a predetermined number of shares of common stock and are
 non-income producing. The purchase price and number of shares are subject to
 adjustment under certain conditions until the expiration date.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(j)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Other interests represent
 beneficial interest in liquidation trusts and other reorganization entities
 and are non-income producing.</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>11</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3><B>BlackRock Debt Strategies Fund,
 Inc.</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Schedule
 of Investments May 31, 2009 (Unaudited)</B></FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="90%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&#149;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Investments in companies
 considered to be an affiliate of the Fund, for purposes of Section 2(a)(3) of
 the Investment Co. Act of 1940, were as follows:</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="80%">
<TR style="font-size:1px">
<TD WIDTH="61%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Affiliate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Net Activity</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Income</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>BlackRock Liquidity
 Series, LLC Cash Sweep Series </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(4,725,260</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,977</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="89%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&#149;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>For Fund compliance
 purposes, the Fund&#146;s industry classifications refer to any one or more of the
 industry sub-classifications used by one or more widely recognized market
 indexes or ratings group indexes, and/or as defined by Fund management. This
 definition may not apply for purposes of this report, which may combine
 industry sub-classifications for reporting ease.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&#149;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Foreign currency exchange
 contracts as of May 31, 2009 were as follows:</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="80%">
<TR style="font-size:1px">
<TD WIDTH="6%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Currency<BR>
 Purchased</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Currency<BR>
 Sold</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Counterparty</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Settlement<BR>
 Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Unrealized<BR>
 Appreciation<BR>
 (Depreciation)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>EUR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>172,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>239,866</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Citibank,
 NA</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>6/02/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,284</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>GBP</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>266,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>384,208</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>UBS
 AG</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>6/10/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>45,706</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,236,070</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>CAD</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,600,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Citibank,
 NA</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>6/10/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(229,570</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9,194,934</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>EUR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,747,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Citibank,
 NA</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>7/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(339,741</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Total</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(520,321</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="90%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&#149;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Credit default swaps on
 single-name issues - buy protection outstanding as of May 31, 2009 were as
 follows:</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="90%" style='margin-left:10%'>
<TR style="font-size:1px">
<TD WIDTH="20%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Issuer</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Pay<BR>
 Fixed Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Counterparty</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Expiration</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Notional<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Unrealized<BR>
 Appreciation<BR>
 (Depreciation)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>First Data Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>JPMorgan
 Chase<BR>
 Bank NA</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>December
 2013</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>74,365</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>First Data Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2>5</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>JPMorgan
 Chase<BR>
 Bank NA</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>December
 2013</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>49,465</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Host Hotels &amp; Resorts
 LP</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Goldman
 Sachs<BR>
 Bank USA</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>March
 2014</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(308,770</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Masco Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2>5.30</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>JPMorgan
 Chase<BR>
 Bank NA</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>March
 2014</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(121,857</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Masco Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6.25</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>JPMorgan
 Chase<BR>
 Bank NA</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>March
 2014</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(177,782</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Mohawk Industries, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2>4.45</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>JPMorgan
 Chase<BR>
 Bank NA</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>March
 2014</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(105,022</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Mohawk Industries, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.20</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>JPMorgan
 Chase<BR>
 Bank NA</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>March
 2014</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(154,219</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Lennar Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2>5.75</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>JPMorgan
 Chase<BR>
 Bank NA</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>June
 2014</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(160,271</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Total</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(904,091</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>12</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3><B>BlackRock Debt Strategies Fund,
 Inc.</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Schedule
 of Investments May 31, 2009 (Unaudited)</B></FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=gray ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="90%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&#149;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Credit default swaps on
 single-name issues - sold protection outstanding as of May 31, 2009 were as
 follows:</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="90%" style='margin-left:10%'>
<TR style="font-size:1px">
<TD WIDTH="19%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="16%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Issuer</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Receive<BR>
 Fixed Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Counterparty</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Expiration</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Credit<BR>
 Rating <SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Notional<BR>
 Amount<BR>
 (000)<SUP>2</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Unrealized<BR>
 Depreciation</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>BAA Ferrovial Junior Term
 Loan</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2>2.00</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Deutsche
 Bank AG</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>March
 2012</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>A-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>GBP</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(268,028</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
</TABLE>
<BR>

<P style='margin-top:-3px;margin-left:5%'><FONT SIZE=2><SUP>1</SUP> Using Standard and Poor&#146;s
 ratings of the issuer.</FONT></P>

<P style='margin-top:-3px;margin-left:5%'><FONT SIZE=2><SUP>2</SUP> The maximum potential
 amount the Fund may pay should a negative credit event take place as defined
 under the terms of the agreement.</FONT></P>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="87%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&#149;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Currency Abbreviations: </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>CAD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Canadian Dollar</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>EUR</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Euro</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>GBP</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>British Pound</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>USD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>US Dollar</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>13</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3><B>BlackRock Debt Strategies Fund,
 Inc.</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Schedule
 of Investments May 31, 2009 (Unaudited)</B></FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=gray ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="85%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&#149;</FONT></P>
</TD>
<TD COLSPAN="3" VALIGN=TOP>
<P><FONT SIZE=2>Financial Accounting
 Standards Board Statement of Financial Accounting Standards No. 157, &#147;Fair
 Value Measurements&#148; (&#147;FAS 157&#148;) clarifies the definition of fair value,
 establishes a framework for measuring fair values and requires additional
 disclosures about the use of fair value measurements. Various inputs are used
 in determining the fair value of investments, which are as follows:</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="3" VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&#149;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Level 1 - price quotations
 in active markets/exchanges for identical securities</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&#149;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Level 2 - 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)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>&#149;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Level 3 - unobservable
 inputs based on the best information available in the circumstances, to the
 extent observable inputs are not available (including the Fund&#146;s own
 assumptions used in determining the fair value of investments)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="3" VALIGN=TOP>
<P><FONT SIZE=2>The inputs or methodology
 used for valuing securities are not necessarily an indication of the risk
 associated with investing in those securities. For information about the
 Fund&#146;s policy regarding valuation of investments and other significant
 accounting policies, please refer to the Fund&#146;s most recent financial
 statements as contained in its annual report.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="3" VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="3" VALIGN=TOP>
<P><FONT SIZE=2>The following table
 summarizes the inputs used as of May 31, 2009 in determining the fair
 valuation of the Fund&#146;s investments:</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="70%" style='margin-left:5%'>
<TR style="font-size:1px">
<TD WIDTH="40%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="5" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Valuation<BR>
 Inputs</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Investments in<BR>
 Securities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Other Financial<BR>
 Instruments*</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="5" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Liabilities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Level 1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8,972,697</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Level 2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>271,846,082</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>172,820</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1,597,232</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Level 3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>89,802,033</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(268,028</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Total</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>370,620,812</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>172,820</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1,865,260</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="94%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>* Other financial
 instruments are swaps and foreign currency exchange contracts. Swaps and
 foreign currency exchange contracts are valued at the unrealized appreciation/depreciation
 on the instrument.</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>14</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3><B>BlackRock Debt Strategies Fund,
 Inc.</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Schedule
 of Investments May 31, 2009 (Unaudited)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=gray ALIGN=CENTER>
</TD>
</TR>

</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>The following is a
 reconciliation of investments for unobservable inputs (Level 3) used in
 determining fair value:</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="69%">
<TR style="font-size:1px">
<TD WIDTH="69%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="23%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Investments in Securities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Balance, as of February
 28, 2009</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>106,044,416</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Realized loss</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(13,650,341</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Change in unrealized
 appreciation</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>17,124,352</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Net sales</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(24,182,066</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Net transfers in/out of Level
 3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,465,672</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Balance as of May 31, 2009</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>89,802,033</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>15</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4>



<!-- end -->

        <p style="PAGE-BREAK-BEFORE: always" align="left"></p>
        <PAGE>

        <div align="left">
            <table style="BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td valign="top" width="8%">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 0in; MARGIN-LEFT: 0in; TEXT-INDENT: 0pt; LINE-HEIGHT: normal; TEXT-ALIGN: left"><font size="2">Item 2 &ndash;</font></p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 0in; MARGIN-LEFT: 0in; TEXT-INDENT: 0pt; LINE-HEIGHT: normal; TEXT-ALIGN: left"><font size="2">Controls and Procedures</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="3">&nbsp;</td>
                </tr>

                <tr>
                    <td valign="top">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 0in; MARGIN-LEFT: 0in; TEXT-INDENT: 0pt; LINE-HEIGHT: normal; TEXT-ALIGN: left"><font size="2">2(a) &ndash; </font></p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 0in; MARGIN-LEFT: 0in; TEXT-INDENT: 0pt; LINE-HEIGHT: normal; TEXT-ALIGN: left"><font size="2">The registrant&rsquo;s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant&rsquo;s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the &ldquo;1940 Act&rdquo;)) 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 13(a)-15(b) under the Securities Exchange Act of 1934, as amended.</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="3">&nbsp;</td>
                </tr>

                <tr>
                    <td valign="top">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 0in; MARGIN-LEFT: 0in; TEXT-INDENT: 0pt; LINE-HEIGHT: normal; TEXT-ALIGN: left"><font size="2">2(b) &ndash; </font></p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 0in; MARGIN-LEFT: 0in; TEXT-INDENT: 0pt; LINE-HEIGHT: normal; TEXT-ALIGN: left"><font size="2">There were no changes in the registrant&rsquo;s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant&rsquo;s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant&rsquo;s internal control over financial
                        reporting.</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="3">&nbsp;</td>
                </tr>

                <tr>
                    <td valign="top">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 0in; MARGIN-LEFT: 0in; TEXT-INDENT: 0pt; LINE-HEIGHT: normal; TEXT-ALIGN: left"><font size="2">Item 3 &ndash; </font></p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 0in; MARGIN-LEFT: 0in; TEXT-INDENT: 0pt; LINE-HEIGHT: normal; TEXT-ALIGN: left"><font size="2">Exhibits</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="3">&nbsp;</td>
                </tr>

                <tr>
                    <td valign="top">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 0in; MARGIN-LEFT: 0in; TEXT-INDENT: 0pt; LINE-HEIGHT: normal; TEXT-ALIGN: left">&nbsp;</p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 0in; MARGIN-LEFT: 0in; TEXT-INDENT: 0pt; LINE-HEIGHT: normal; TEXT-ALIGN: left"><font size="2">Certifications &ndash; Attached hereto</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="3">&nbsp;</td>
                </tr>

                <tr>
                    <td valign="top">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 0in; MARGIN-LEFT: 0in; TEXT-INDENT: 0pt; LINE-HEIGHT: normal; TEXT-ALIGN: left">&nbsp;</p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 0in; MARGIN-LEFT: 0in; TEXT-INDENT: 0pt; LINE-HEIGHT: normal; TEXT-ALIGN: left"><font size="2">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.</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="top">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 0in; MARGIN-LEFT: 0in; TEXT-INDENT: 0pt; LINE-HEIGHT: normal; TEXT-ALIGN: left">&nbsp;</p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 0in; MARGIN-LEFT: 0in; TEXT-INDENT: 0pt; LINE-HEIGHT: normal; TEXT-ALIGN: left">&nbsp;</p>
                    </td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="3">&nbsp;</td>
                </tr>

                <tr>
                    <td valign="top">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 0in; MARGIN-LEFT: 0in; TEXT-INDENT: 0pt; LINE-HEIGHT: normal; TEXT-ALIGN: left">&nbsp;</p>
                    </td>

                    <td valign="top" colspan="3">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 0in; MARGIN-LEFT: 0in; TEXT-INDENT: 0pt; LINE-HEIGHT: normal; TEXT-ALIGN: left"><font size="2">BlackRock Debt Strategies Fund, Inc.</font></p>
                    </td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="3">&nbsp;</td>
                </tr>

                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 0pt; PADDING-TOP: 0in" valign="top">&nbsp;</td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 0pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; TEXT-ALIGN: left"><font size="2">By:</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 0pt; PADDING-TOP: 0in; BORDER-BOTTOM: black 1px solid" valign="top" width="25%"><font size="2">/s/ <font size="2">Donald C. Burke</font></font></td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 0pt; PADDING-TOP: 0in" valign="top">&nbsp;</td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="2"><font size="2">Donald C. Burke</font></td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="2"><font size="2">Chief Executive Officer of</font></td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="2"><font size="2">BlackRock Debt Strategies Fund, Inc.</font></td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="3">&nbsp;</td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="3"><font size="2">Date: July 15, 2009</font></td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="3">&nbsp;</td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="3"><font size="2">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.</font></td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="3">&nbsp;</td>
                </tr>

                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 0pt; PADDING-TOP: 0in" valign="top">&nbsp;</td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 0pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; TEXT-ALIGN: left"><font size="2">By:</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 0pt; PADDING-TOP: 0in; BORDER-BOTTOM: black 1px solid" valign="top"><font size="2">/s/ <font size="2">Donald C. Burke</font></font></td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 0pt; PADDING-TOP: 0in" valign="top">&nbsp;</td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="2"><font size="2">Donald C. Burke</font></td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="2"><font size="2">Chief Executive Officer (principal executive officer) of</font></td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="2"><font size="2">BlackRock Debt Strategies Fund, Inc.</font></td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="3">&nbsp;</td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="3"><font size="2">Date: July 15, 2009</font></td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="3">&nbsp;</td>
                </tr>

                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 0pt; PADDING-TOP: 0in" valign="top">&nbsp;</td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 0pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; TEXT-ALIGN: left"><font size="2">By:</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 0pt; PADDING-TOP: 0in; BORDER-BOTTOM: black 1px solid" valign="top"><font size="2">/s/ <font size="2">Neal J. Andrews</font></font></td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 0pt; PADDING-TOP: 0in" valign="top">&nbsp;</td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="2"><font size="2">Neal J. Andrews</font></td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="2"><font size="2">Chief Financial Officer (principal financial officer) of</font></td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="2"><font size="2">BlackRock Debt Strategies Fund, Inc.</font></td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="3">&nbsp;</td>
                </tr>

                <tr>
                    <td valign="top">&nbsp;</td>

                    <td valign="top" colspan="3"><font size="2">Date: July 15, 2009</font></td>
                </tr>
            </table>
        </div>
        <hr align="center" width="100%" noshade size="4">
    </body>
</html>

</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>i00233_ex99-cert.htm
<TEXT>
<html>
    <head>
        <title></title>
    </head>

    <body style="FONT-FAMILY: 'Times New Roman'" bgcolor="#ffffff">
        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; TEXT-ALIGN: left"><b><font size="2">EX-99. CERT</font></b></p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; TEXT-ALIGN: left">&nbsp;</p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; PADDING-BOTTOM: 10px; BORDER-BOTTOM: 0.75pt solid; TEXT-ALIGN: left"><b><font size="2">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF <br>
        THE SARBANES-OXLEY ACT OF 2002</font></b></p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; TEXT-ALIGN: left">&nbsp;</p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; TEXT-ALIGN: left"><font size="2">I, Donald C. Burke, Chief Executive Officer (principal executive officer) of BlackRock Debt Strategies Fund, Inc., certify that:</font></p>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">1.</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">I have reviewed this report on Form N-Q of BlackRock Debt Strategies Fund, Inc.;</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">2.</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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; </font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">3.</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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;</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">4.</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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:</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; TEXT-ALIGN: left">&nbsp;</p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">a)</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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;</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; TEXT-ALIGN: left">&nbsp;</p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">b)</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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;</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; TEXT-ALIGN: left">&nbsp;</p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">c)</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; TEXT-ALIGN: left">&nbsp;</p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">d)</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">5.</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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):</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; TEXT-ALIGN: left">&nbsp;</p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">a)</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; TEXT-ALIGN: left">&nbsp;</p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">b)</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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.</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <table cellspacing="0" cellpadding="0" width="100%" border="0">
            <tr>
                <td colspan="2"><font size="2">Date: July 15, 2009 </font></td>
            </tr>

            <tr>
                <td colspan="2">&nbsp;</td>
            </tr>

            <tr>
                <td style="BORDER-BOTTOM: black 1px solid" width="25%"><font size="2">/s/ Donald C. Burke</font></td>

                <td>&nbsp;</td>
            </tr>

            <tr>
                <td colspan="2"><font size="2">Donald C. Burke</font></td>
            </tr>

            <tr>
                <td colspan="2"><font size="2">Chief Executive Officer (principal executive officer) of </font></td>
            </tr>

            <tr>
                <td colspan="2"><font size="2">BlackRock Debt Strategies Fund, Inc.</font></td>
            </tr>
        </table>
        <hr align="center" width="100%" noshade size="4">

        <p style="PAGE-BREAK-BEFORE: always" align="left"></p>
        <PAGE>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; TEXT-ALIGN: left"><b><font size="2">EX-99. CERT</font></b></p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; TEXT-ALIGN: left">&nbsp;</p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; PADDING-BOTTOM: 10px; BORDER-BOTTOM: 0.75pt solid; TEXT-ALIGN: left"><b><font size="2">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF <br>
        THE SARBANES-OXLEY ACT OF 2002</font></b></p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; TEXT-ALIGN: left">&nbsp;</p>

        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 11pt; TEXT-ALIGN: left"><font size="2">I, Neal J. Andrews, Chief Financial Officer (principal financial officer) of BlackRock Debt Strategies Fund, Inc., certify that:</font></p>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">1.</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">I have reviewed this report on Form N-Q of BlackRock Debt Strategies Fund, Inc.;</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">2.</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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; </font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">3.</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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;</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">4.</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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:</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; TEXT-ALIGN: left">&nbsp;</p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">a)</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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;</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; TEXT-ALIGN: left">&nbsp;</p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">b)</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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;</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; TEXT-ALIGN: left">&nbsp;</p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">c)</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; TEXT-ALIGN: left">&nbsp;</p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">d)</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">5.</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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):</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; TEXT-ALIGN: left">&nbsp;</p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">a)</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <div align="left">
            <table style="MARGIN-LEFT: 0pt; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" width="100%" border="0">
                <tr>
                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0in; MARGIN-BOTTOM: 11pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; TEXT-ALIGN: left">&nbsp;</p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top" width="5%">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">b)</font></p>
                    </td>

                    <td style="PADDING-RIGHT: 0in; PADDING-LEFT: 0in; PADDING-BOTTOM: 11pt; PADDING-TOP: 0in" valign="top">
                        <p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; MARGIN-LEFT: 0pt; TEXT-INDENT: 0pt; LINE-HEIGHT: 98.28%; TEXT-ALIGN: left"><font size="2">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.</font></p>
                    </td>
                </tr>
            </table>
        </div>

        <table cellspacing="0" cellpadding="0" width="100%" border="0">
            <tr>
                <td colspan="2"><font size="2">Date: July 15, 2009 </font></td>
            </tr>

            <tr>
                <td colspan="2">&nbsp;</td>
            </tr>

            <tr>
                <td style="BORDER-BOTTOM: black 1px solid" width="25%"><font size="2">/s/ <font size="2">Neal J. Andrews</font></font></td>

                <td>&nbsp;</td>
            </tr>

            <tr>
                <td colspan="2"><font size="2">Neal J. Andrews</font></td>
            </tr>

            <tr>
                <td colspan="2"><font size="2">Chief Financial Officer (principal financial officer) of </font></td>
            </tr>

            <tr>
                <td colspan="2"><font size="2">BlackRock Debt Strategies Fund, Inc.</font></td>
            </tr>
        </table>
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