<SEC-DOCUMENT>0000900092-11-000216.txt : 20110506
<SEC-HEADER>0000900092-11-000216.hdr.sgml : 20110506
<ACCEPTANCE-DATETIME>20110506114857
ACCESSION NUMBER:		0000900092-11-000216
CONFORMED SUBMISSION TYPE:	N-CSRS
PUBLIC DOCUMENT COUNT:		6
CONFORMED PERIOD OF REPORT:	20110228
FILED AS OF DATE:		20110506
DATE AS OF CHANGE:		20110506
EFFECTIVENESS DATE:		20110506

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			BLACKROCK LTD DURATION INCOME TRUST
		CENTRAL INDEX KEY:			0001233681
		IRS NUMBER:				200096695
		STATE OF INCORPORATION:			DE
		FISCAL YEAR END:			1031

	FILING VALUES:
		FORM TYPE:		N-CSRS
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-21349
		FILM NUMBER:		11817747

	BUSINESS ADDRESS:	
		STREET 1:		100 BELLEVUE PARKWAY
		STREET 2:		MUTUAL FUND DEPARTMENT
		CITY:			WILMINGTON
		STATE:			DE
		ZIP:			19809
		BUSINESS PHONE:		888-825-227

	MAIL ADDRESS:	
		STREET 1:		100 BELLEVUE PARKWAY
		STREET 2:		MUTUAL FUND DEPARTMENT
		CITY:			WILMINGTON
		STATE:			DE
		ZIP:			19809

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	BLACKROCK LIMITED DURATION INCOME TRUST
		DATE OF NAME CHANGE:	20030611

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	BLACKROCK MANAGED DURATION INCOME TRUST
		DATE OF NAME CHANGE:	20030529

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	BLACKROCK MANAGED DURATION TRUST
		DATE OF NAME CHANGE:	20030516
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-CSRS
<SEQUENCE>1
<FILENAME>blwfinal.htm
<DESCRIPTION>BR LIMITED DURATION INCOME TRUST
<TEXT>

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<P style="text-align: center;">
<FONT size=3 face="ArialMT,Arial,Helvetica,sans-serif">UNITEDSTATES</FONT><BR>
<FONT size=3 face="ArialMT,Arial,Helvetica,sans-serif">SECURITIESANDEXCHANGECOMMISSION</FONT><BR>
<FONT size=3 face="ArialMT,Arial,Helvetica,sans-serif">Washington,D.C.20549</FONT><BR>
<BR>
<B><FONT size=3 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">FORM N-CSR</FONT></B><BR>
<BR>
<B><FONT size=3 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT</FONT></B><BR>
<B><FONT size=3 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">INVESTMENT COMPANIES</FONT></B></P>
<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Investment Company Act file number 811-21349</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Name of Fund: BlackRock Limited Duration Income Trust (BLW)</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Limited Duration Income Trust, 55 East 52</FONT><SUP><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">nd </FONT></SUP><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Street, New York, NY 10055</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Registrant&#146;s telephone number, including area code: (800) 882-0052, Option 4</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date of fiscal year end: 08/31/2011</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date of reporting period: 02/28/2011</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 1 &#150; Report to Stockholders</FONT></P>

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<IMG border=0 src="brtax6sar0211x1x1.jpg">&nbsp;

<P style="TEXT-ALIGN: left"><B><FONT color=#231f20 size=3 face=CorporateS-Medium,Arial,Helvetica,sans-serif>February 28, 2011</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=5 face="CorporateE-Regular,Times New Roman,Times,serif">Semi-Annual Report (Unaudited)</FONT><BR><BR><FONT color=#231f20 size=2 face=CorporateS-Light,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT><BR><BR><FONT color=#231f20 size=2 face=CorporateS-Light,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT><BR><BR><FONT color=#231f20 size=2 face=CorporateS-Light,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR><BR><FONT color=#231f20 size=2 face=CorporateS-Light,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><BR><FONT color=#231f20 size=2 face=CorporateS-Light,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund, Inc.</FONT><BR><BR><FONT color=#231f20 size=2 face=CorporateS-Light,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund II, Inc.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT color=#231f20 size=1 face="CorporateE-Bold,Times New Roman,Times,serif">Not FDIC Insured &#8226; No Bank Guarantee &#8226; May Lose Value</FONT></B></P>

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<P style="text-align: left;">
<FONT color="#394c87" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Table of Contents</FONT></P>
<DIV align="left">
<TABLE border=0 cellspacing=0>
<TR>
     <TD width=69%></TD>
     <TD width=30%></TD></TR>
<TR valign="bottom">
	<TD bgcolor="#e3e3ef" align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD bgcolor="#e3e3ef" align=right style="border-bottom:1px solid #000000;">
<B><FONT color="#394c87" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Page</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Dear Shareholder</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">3</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Semi-Annual Report:</FONT></B>&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund Summaries</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">4</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Benefits and Risks of Leveraging</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">16</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Derivative Financial Instruments</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">17</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Disclosure of Expenses</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">17</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund Financial Statements</FONT>&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="TEXT-INDENT:4.000000px">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Schedules of Investments</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">18</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="TEXT-INDENT:4.000000px">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statements of Assets and Liabilities</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">48</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="TEXT-INDENT:4.000000px">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statements of Operations</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">50</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="TEXT-INDENT:4.000000px">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statements of Changes in Net Assets</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">52</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="TEXT-INDENT:4.000000px">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statements of Cash Flows</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">55</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund Financial Highlights</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">56</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund Notes to Financial Statements</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">62</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Master Senior Floating Rate LLC Portfolio Summary</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">74</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Master Senior Floating Rate LLC Financial Statements:</FONT>&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="TEXT-INDENT:4.000000px">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Schedule of Investments</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">75</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="TEXT-INDENT:4.000000px">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statement of Assets and Liabilities</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">81</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="TEXT-INDENT:4.000000px">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statement of Operations</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">82</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="TEXT-INDENT:4.000000px">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statements of Changes in Net Assets</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">82</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="TEXT-INDENT:4.000000px">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statement of Cash Flows</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">83</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Master Senior Floating Rate LLC Financial Highlights</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">84</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Master Senior Floating Rate LLC Notes to Financial Statements</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">85</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Officers and Directors</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">89</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Additional Information</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">89</FONT>&nbsp;</TD>
</TR>
</TABLE>
</DIV>
<P style="MARGIN:0px">&nbsp;</P>
<P style="text-align: left;">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">2 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dear Shareholder</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Over the past 12 months, we have seen a sluggish, stimulus-driven economic recovery at long last gain real traction, accelerate, and transition into a con-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sumption-driven expansion. For the most part, 2010 was plagued with widely fluctuating economic data, but as the year drew to a close, it became clear</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that cyclical stimulus had beaten out structural problems as economic data releases generally became more positive and financial markets showed signs</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of continuing improvement. Although the sovereign debt crises and emerging market inflation that troubled the global economy in 2010 remain a challenge,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>overall investor sentiment considerably improved. Near the end of the period, geopolitical tensions across the Middle East North Africa (&#8220;MENA&#8221;) region</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>along with rising oil prices introduced new cause for concern about the future of the global economy. As of this writing, economic news remains fairly</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>positive although we face additional uncertainties related to the aftermath of the devastating earthquake in Japan, with particular focus on the damage</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to nuclear power plants.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In the United States, strength from the corporate sector and increasing consumer spending have been key drivers of economic growth, while the housing</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and labor markets have been the heaviest burdens. While housing has yet to show any meaningful sign of improvement, labor statistics have delivered a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mixed bag month after month, but became increasingly encouraging toward the end of the period when the unemployment rate fell to its lowest level</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>since April 2009.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Global equity markets experienced uneven growth and high volatility over the course of 2010, but ended the year strong. Following a strong start to 2011,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>stocks lost their momentum on the back of geopolitical events in the MENA region and a sharp rise in oil prices. Overall, equities posted strong returns<BR>for the </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12-month period. US stocks outpaced most international markets and small cap stocks outperformed large caps as investors moved into <BR>higher-risk assets.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fixed income markets saw yields trend lower over most of 2010, until the fourth quarter brought an abrupt reversal in sentiment and risk tolerance that</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>drove yields sharply upward (pushing bond prices down) through year end. Improving economic data continued to pressure fixed income yields in 2011;</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>however, escalating geopolitical risks have acted as a counterweight, restoring relative stability to yield movements. Nevertheless, the yield curve remained</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>steep and higher-risk sectors outperformed the fixed income market.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The tax-exempt municipal market enjoyed a powerful rally during the period of low interest rates in 2010; however, when the yield trend reversed, the market</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>was dealt an additional blow as it became evident that the Build America Bond program would expire at year end. In addition, negative headlines regarding</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fiscal challenges faced by state and local governments damaged investor confidence and further heightened volatility in the municipal market. Tax-exempt</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mutual funds experienced heavy outflows, resulting in wider quality spreads and further downward pressure on municipal bond prices. These headwinds</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>began to abate as the period came to a close and municipals finally posted gains in February, following a five-month run of negative performance.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash investments, as represented by the 3-month Treasury bill, returned only a fraction over 0% for the 12-month period as short-term interest rates</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>remained low. Yields on money market securities remain near all-time lows.</FONT></P>

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   <TD width="26%"></TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total returns as of February 28, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>6-month</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>12-month</FONT></B>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US large cap equities (S&amp;P 500 Index)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27.73%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22.57%</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US small cap equities (Russell 2000 Index)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37.55</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32.60</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International equities (MSCI Europe, Australasia, Far East Index)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23.77</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20.00</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month Treasury bill (BofA Merrill Lynch 3-Month Treasury Bill Index)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.07</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.14</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6.04)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.76</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US investment grade bonds (Barclays Capital US Aggregate Bond Index)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.83)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.93</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax-exempt municipal bonds (Barclays Capital Municipal Bond Index)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3.51)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.72</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US high yield bonds (Barclays Capital US Corporate High Yield 2% Issuer Capped Index)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.05</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17.34</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Past performance is no guarantee of future results. Index performance shown for illustrative purposes only. You cannot invest directly in an index.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>While no one can peer into a crystal ball and eliminate the uncertainties presented by the economic landscape and financial markets, BlackRock can offer</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investors the next best thing: partnership with the world&#8217;s largest asset management firm and a unique global perspective that allows us to identify trends</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>early and capitalize on market opportunities. For additional market perspective and investment insight, visit </FONT><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>www.blackrock.com/shareholdermagazine</FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>, <BR>where </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>you&#8217;ll find the most recent issue of our award-winning </FONT><FONT color=#231f20 size=2 face=FranklinGothic-MedCndItal,Arial,Helvetica,sans-serif>Shareholder&#174; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>magazine, as well as its quarterly companion newsletter, </FONT><FONT color=#231f20 size=2 face=FranklinGothic-MedCndItal,Arial,Helvetica,sans-serif>Shareholder <BR>Perspectives</FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>. As </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>always, we thank you for entrusting BlackRock with your investments, and we look forward to your continued partnership in the <BR>months and years ahead.</FONT></P>
<IMG border=0 src="brtax6sar0211x3x1.jpg"> <BR>

<P style="TEXT-ALIGN: left"><FONT color=#6d6e70 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>THIS PAGE NOT PART OF YOUR FUND REPORT </FONT><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of February 28, 2011 </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust</FONT></B><BR><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Objective</FONT></B><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust&#8217;s (BHL) (the &#8220;Fund&#8221;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>primary investment objective is high current income, with a secondary objective of long-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>term capital appreciation. The Fund seeks to achieve its investment objectives by investing substantially all of its assets in loan and debt instruments and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan-related and debt-related instruments (collectively "credit securities"). The Fund invests, under normal market conditions, at least 80% of its assets in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>any combination of the following credit securities: (i) senior secured floating rate and fixed rate loans; (ii) second lien or other subordinated or unsecured</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>floating rate and fixed rate loans or debt; (iii) credit securities that are rated below investment grade quality; and (iv) investment grade corporate bonds.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund may invest directly in such securities or synthetically through the use of derivatives.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No assurance can be given that the Fund&#8217;s investment objectives will be achieved.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Management Commentary</FONT></B><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>How did the Fund perform?</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2011, the Fund returned 17.57%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on market price and 8.77% based on net asset value (&#8220;NAV&#8221;). For</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the same period, the Lipper Loan Participation Funds category posted an</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>average return of 14.91% based on market price and 9.11% based on NAV.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>All returns reflect reinvestment of dividends. The Fund moved from a dis-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>count to NAV to a premium by period end, which accounts for the difference</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between performance based on price and performance based on NAV.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following discussion relates to performance based on NAV.</FONT><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>What factors influenced performance?</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The bank loan sector posted strong returns as risk assets rallied during the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period. Lower-quality sectors and credits outperformed their higher-quality</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparts and the high yield sector outperformed bank loans. Because</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Fund invests primarily in bank loans, and it held an average of 10%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of its portfolio in corporate bonds during the period, the use of leverage had</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a positive impact on returns as these sectors advanced. However, the Fund</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>maintains a lower level of leverage (at an average amount between 18%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and 23%) than the average level maintained by the leveraged funds in its</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lipper category, which detracted from performance on a relative basis. In</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>addition, the Fund maintains a relatively conservative portfolio, weighted</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>toward higher-quality speculative investments, which detracted from</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>performance as lower quality outperformed during the period.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Conversely, the Fund&#8217;s greater allocation to high yield bonds relative to its</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lipper category competitors had a positive impact on performance.</FONT><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe recent portfolio activity.</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the period, the Fund modestly increased its level of risk and use of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>leverage as market conditions improved. In particular, the Fund increased</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exposure to lower-quality credits and sectors that are more favorably</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>impacted by rising commodity prices and an improving economy.</FONT><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe portfolio positioning at period end.</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>At period end, the Fund held 86% of its total portfolio in floating rate loan</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interests and 10% in corporate bonds, with the remainder in asset-backed</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities, common stocks and equity equivalents. Cash positions were neg-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ligible for most of the period. The Fund ended the period with leverage at</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>approximately 21% of its total managed assets.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>views are not intended to be a forecast of future events and are no guarantee of future results.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust</FONT></B></P>

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<TR>

   <TD width="64%"></TD>

   <TD width="35%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Symbol on New York Stock Exchange (&#8220;NYSE&#8221;)</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>January 31, 2008</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on Closing Market Price as of February 28, 2011 ($14.69)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.39%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Monthly Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.066</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Annualized Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.792</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Leverage as of February 28, 2011</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The distribution rate is not constant and is subject to change.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on page 16.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The table below summarizes the changes in the Fund&#8217;s market price and NAV per share:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="34%"></TD>

   <TD width="31%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD>

   <TD width="6%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Change</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>High</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Price</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.69</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.86</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.23%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.72</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.81</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Asset Value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.32</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$13.55</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.68%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.37</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$13.55</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following unaudited charts show the portfolio composition of the Fund&#8217;s long-term investments and credit quality allocations of the Fund&#8217;s corporate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>bond investments:</FONT></P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="54%"></TD>

   <TD width="31%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=middle><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>86%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>83%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset-Backed Securities</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Stocks</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="56%"></TD>

   <TD width="29%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BBB/Baa</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10%</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BB/Ba</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>44</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>44</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC/Caa</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" colSpan=3 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using the higher of Standard &amp; Poor&#8217;s Corporation (&#8220;S&amp;P&#8217;s&#8221;) or Moody&#8217;s Investors</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Service, Inc. (&#8220;Moody&#8217;s&#8221;) ratings.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 5</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of February 28, 2011 </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc.</FONT></B><BR><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Objective</FONT></B><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc.&#8217;s (DVF) (the &#8220;Fund&#8221;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment objective is to provide shareholders with high current income. The Fund</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>seeks to achieve its investment objective by investing primarily in floating rate debt securities and instruments, including floating rate loans, bonds, certain</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>preferred securities (including certain convertible preferred securities), notes or other debt securities or instruments which pay a floating or variable rate of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest until maturity. The Fund considers floating rate debt securities to include fixed rate debt securities held by the Fund where the Fund has entered into</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>certain derivative transactions at either the portfolio level or with respect to an individual security held by the Fund, including interest rate swap agreements,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in an attempt to convert the fixed rate payments it receives with respect to such securities into floating rate payments. The Fund may invest, under normal</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market conditions, a substantial portion of its assets in below investment grade quality securities. The Fund may invest directly in such securities or <BR>syntheti</FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cally through the use of derivatives.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No assurance can be given that the Fund&#8217;s investment objective will be achieved.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Management Commentary</FONT></B><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>How did the Fund perform?</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2011, the Fund returned 10.13%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on market price and 8.93% based on NAV. For the same period,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Lipper Loan Participation Funds category posted an average return of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.91% based on market price and 9.11% based on NAV. All returns reflect</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reinvestment of dividends. The Fund moved from a discount to NAV to a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>premium by period end, which accounts for the difference between</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>performance based on price and performance based on NAV. The</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>following discussion relates to performance based on NAV.</FONT><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>What factors influenced performance?</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The bank loan sector posted strong returns as risk assets rallied during the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period. Lower-quality sectors and credits outperformed their higher-quality</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparts and the high yield sector outperformed bank loans. Because</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Fund invests primarily in bank loans, and it held an average of 14%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of its portfolio in corporate bonds during the period, the use of leverage had</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a positive impact on returns as these sectors advanced. However, the Fund</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>maintains a lower level of leverage (at an average amount between 20%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and 26%) than the average level maintained by the leveraged funds in its</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lipper category, which detracted from performance on a relative basis. In</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>addition, the Fund maintains a relatively conservative portfolio, weighted</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>toward higher-quality speculative investments, which detracted from per-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>formance as lower quality outperformed during the period.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Conversely, the Fund&#8217;s greater allocation to high yield bonds relative to its</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lipper category competitors had a positive impact on performance.</FONT><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe recent portfolio activity.</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the period, the Fund modestly increased its level of risk and use of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>leverage as market conditions improved. In particular, the Fund increased</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exposure to lower-quality credits and sectors that are more favorably</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>impacted by rising commodity prices and an improving economy.</FONT><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe portfolio positioning at period end.</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>At period end, the Fund held 80% of its total portfolio in floating rate loan</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interests and 14% in corporate bonds, with the remainder in asset-backed</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities, common stocks and equity equivalents. Cash positions were neg-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ligible for most of the period. The Fund ended the period with leverage at</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>approximately 21% of its total managed assets.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>views are not intended to be a forecast of future events and are no guarantee of future results.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc.</FONT></B></P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="35%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Symbol on NYSE</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>January 31, 2005</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on Closing Market Price as of February 28, 2011 ($11.11)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.86%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Monthly Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0635</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Annualized Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.7620</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Leverage as of February 28, 2011</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The distribution rate is not constant and is subject to change.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including assets attributable to borrowings) minus the sum of liabilities</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 16.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The table below summarizes the changes in the Fund&#8217;s market price and NAV per share:</FONT></P>

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<TR>

   <TD width="34%"></TD>

   <TD width="31%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD>

   <TD width="6%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Change</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>High</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Price</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$11.11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.45</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.32%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$11.75</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.18</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Asset Value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$11.01</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.47</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.16%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$11.06</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.47</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following charts show the portfolio composition of the Fund&#8217;s long-term investments and credit quality allocations of the Fund&#8217;s corporate bond investments:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="54%"></TD>

   <TD width="31%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=middle><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>80%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>76%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset-Backed Securities</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Stocks</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="22%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BBB/Baa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BB/Ba</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC/Caa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CC/Ca</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Not Rated</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using the higher of S&amp;P&#8217;s or Moody&#8217;s ratings.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 7</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_10"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of February 28, 2011 </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc.</FONT></B><BR><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Objective</FONT></B><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc.&#8217;s (FRA) (the &#8220;Fund&#8221;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment objective is to provide shareholders with high current income and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>such preservation of capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating rate debt securities and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instruments. The Fund seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in floating rate debt</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities, including floating or variable rate debt securities that pay interest at rates that adjust whenever a specified interest rate changes and/or which</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reset on predetermined dates (such as the last day of a month or calendar quarter). The Fund invests a substantial portion of its investments in floating rate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>debt securities consisting of secured or unsecured senior floating rate loans that are rated below investment grade. The Fund may invest directly in such</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities or synthetically through the use of derivatives.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No assurance can be given that the Fund&#8217;s investment objective will be achieved.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Management Commentary</FONT></B><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>How did the Fund perform?</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2011, the Fund returned 8.59%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on market price and 9.47% based on NAV. For the same period, the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closed-end Lipper Loan Participation Funds category posted an average</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>return of 14.91% based on market price and 9.11% based on NAV. All</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>returns reflect reinvestment of dividends. The Fund's premium to NAV,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which narrowed during the period, accounts for the difference between</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>performance based on price and performance based on NAV. The</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>following discussion relates to performance based on NAV.</FONT><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>What factors influenced performance?</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The bank loan sector posted strong returns as risk assets rallied during the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period. Lower-quality sectors and credits outperformed their higher-quality</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparts and the high yield sector outperformed bank loans. Because</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Fund invests primarily in bank loans, and it held an average of 15% of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>its portfolio in corporate bonds during the period, the use of leverage had a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>positive impact on returns (on an absolute basis) as these sectors</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>advanced. Holding a greater allocation to high yield bonds relative to its</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lipper category competitors drove the Fund&#8217;s outperformance.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund maintains a relatively conservative portfolio, weighted toward</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>higher-quality speculative investments, which detracted from performance as</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lower quality outperformed during the period. In addition, the Fund main-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tains a lower level of leverage (at an average amount between 18% and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22% of its total managed assets) than the average level maintained by</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>its Lipper category competitors, which detracted from performance on a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>relative basis.</FONT><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe recent portfolio activity.</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the period, the Fund modestly increased its level of risk and use of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>leverage as market conditions improved. In particular, the Fund increased</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exposure to lower-quality credits and sectors that are more favorably</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>impacted by rising commodity prices and an improving economy.</FONT><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe portfolio positioning at period end.</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>At period end, the Fund held 81% of its total portfolio in floating rate loan</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interests and 15% in corporate bonds, with the remainder in asset-backed</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities, common stocks and equity equivalents. Cash positions were neg-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ligible for most of the period. The Fund ended the period with leverage at</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>approximately 18% of its total managed assets.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>views are not intended to be a forecast of future events and are no guarantee of future results.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc.</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="35%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Symbol on NYSE</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>October 31, 2003</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on Closing Market Price as of February 28, 2011 ($15.38)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.01%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Monthly Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.077</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Annualized Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.924</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Leverage as of February 28, 2011</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The distribution rate is not constant and is subject to change.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Represents loan outstanding as a percentage of managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) that may be outstanding,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>minus the sum of accrued liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Risks of Leveraging on page 16.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The table below summarizes the changes in the Fund&#8217;s market price and NAV per share:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="34%"></TD>

   <TD width="31%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD>

   <TD width="6%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Change</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>High</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Price</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$15.38</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.61</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.27%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$15.84</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.02</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Asset Value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$15.24</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.36</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.13%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$15.26</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.36</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following charts show the portfolio composition of the Fund&#8217;s long-term investments and credit quality allocations of the Fund&#8217;s corporate bond investments:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="54%"></TD>

   <TD width="31%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=middle><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>81%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>76%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset-Backed Securities</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Stocks</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="22%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BBB/Baa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BB/Ba</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC/Caa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CC/Ca</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Not Rated</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using the higher of S&amp;P&#8217;s or Moody&#8217;s ratings.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 9</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_12"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of February 28, 2011 </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust</FONT></B><BR><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Objective</FONT></B><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust&#8217;s (BLW) (the &#8220;Fund&#8221;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment objective is to provide current income and capital appreciation. The Fund seeks</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to achieve its investment objective by investing primarily in three distinct asset classes:</FONT><BR><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>intermediate duration, investment grade corporate bonds, mortgage-related securities and asset-backed securities and US Government and agency securities;</FONT><BR><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>senior, secured floating rate loans made to corporate and other business entities; and</FONT><BR><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US dollar-denominated securities of US and non-US issuers rated below investment grade, and to a limited extent, in non-US dollar denominated</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities of non-US issuers rated below investment grade.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund&#8217;s portfolio normally has an average portfolio duration of less than five years (including the effect of anticipated leverage), although it may be</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>longer from time to time depending on market conditions. The Fund may invest directly in such securities or synthetically through the use of derivatives.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No assurance can be given that the Fund&#8217;s investment objective will be achieved.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Management Commentary</FONT></B><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>How did the Fund perform?</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2011, the Fund returned 5.33%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on market price and 8.73% based on NAV. For the same period, the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closed-end Lipper High Current Yield Funds (Leveraged) category posted</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>an average return of 9.98% based on market price and 12.87% based on</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NAV. All returns reflect reinvestment of dividends. The Fund's discount to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NAV, which widened during the period, accounts for the difference between</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>performance based on price and performance based on NAV. The following</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>discussion relates to performance based on NAV.</FONT><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>What factors influenced performance?</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>High yield bonds delivered strong performance as risk assets rallied during</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the period. While the Fund&#8217;s average allocation to high yield contributed to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>performance on an absolute basis, its average allocation to bank loans and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to investment grade credit, both of which sectors underperformed high yield,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>hurt performance relative to its Lipper category competitors, which invest pri-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>marily in high yield bonds. The Fund maintained leverage at an average</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amount between 20% and 22% of its total managed assets, which</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>detracted from relative performance versus competitors that maintained</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>higher levels of leverage, as would be expected when markets are advanc-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Security selection within the Fund&#8217;s high yield allocation had a positive</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>impact on performance, as did a bias toward lower-quality credits. Within</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Fund&#8217;s investment grade segment, limited exposure to corporate bonds</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and a large allocation to securitized assets proved beneficial. In addition,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Fund&#8217;s relatively modest portfolio duration and exposure to more</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit-sensitive sectors benefited performance as interest rates rose</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>during the period.</FONT><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe recent portfolio activity.</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Over the period, the Fund shifted its overall positioning from a more conser-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>vative stance to that which is more consistent with a gradually improving</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>economy. In particular, the Fund increased exposure to lower-quality credits</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and sectors that are more favorably impacted by higher commodity prices</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and an improving economy.</FONT><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe portfolio positioning at period end.</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>At period end, the Fund held 38% of its total portfolio in corporate bonds,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38% in floating rate loan interests, 10% in non-agency mortgage-backed</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities, 8% in U.S. government sponsored agency securities, and 4% in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>asset-backed securities. The remainder of the portfolio was invested in tax-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>able municipal bonds, equities and equity equivalents, while the Fund&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cash position was negligible. The Fund ended the period with leverage at</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>approximately 21% of its total managed assets.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>views are not intended to be a forecast of future events and are no guarantee of future results.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust</FONT></B></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Symbol on NYSE</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>July 30, 2003</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on Closing Market Price as of February 28, 2011 ($17.00)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.71%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Monthly Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.095</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Annualized Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1.140</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Leverage as of February 28, 2011</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A change in the distribution rate was declared on March 1, 2011. The Monthly Distribution per Share was increased to $0.10. The Yield on Closing Market Price, Current Monthly</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>change in the future.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrow-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Risks of Leveraging on page 16.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The table below summarizes the Fund&#8217;s market price and net asset value per share:</FONT></P>

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   <TD width="34%"></TD>

   <TD width="31%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD>

   <TD width="6%"></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Change</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>High</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Price</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$17.00</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$16.76</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.43%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$17.84</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$15.56</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Asset Value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$17.58</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$16.79</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.71%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$17.58</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$16.79</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following unaudited charts show the portfolio composition of the Fund&#8217;s long-term investments and credit quality allocations of the Fund&#8217;s corporate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>bond and US government securities investments:</FONT></P>

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   <TD width="66%"></TD>

   <TD width="19%"></TD>

   <TD width="14%"></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=middle><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non-Agency Mortgage-Backed Securities</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Government Sponsored Agency Securities</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset-Backed Securities</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Taxable Municipal Bonds</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign Agency Obligations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="53%"></TD>

   <TD width="32%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AAA/Aaa</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AA/Aa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BBB/Baa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BB/Ba</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC/Caa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Not Rated</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using the higher of S&amp;P&#8217;s or Moody&#8217;s ratings.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes US Government Sponsored Agency securities and US Treasury Obligations,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which are deemed AAA/Aaa by the investment advisor.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 11</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of February 28, 2011 </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund, Inc.</FONT></B><BR><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Objective</FONT></B><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund, Inc.&#8217;s (the &#8220;Fund&#8221;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment objective is to provide as high a level of current income and such preservation of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>capital as is consistent with investment in senior collateralized corporate loans (&#8220;corporate loans&#8221;) primarily in the form of participation interests, as defined</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>below, in corporate loans made by banks or other financial institutions. The Fund seeks to achieve its investment objective by investing its assets in the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC ("Master LLC"), a separate closed-end, non-diversified management investment company. Master LLC may invest in a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>corporate loan either by participating as a co-lender at the time the loan is originated or by buying a participation or assignment interest in the corporate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan from a co-lender or a participant (collectively, &#8220;participation interests&#8221;). Master LLC invests, under normal market conditions, at least 80% of its assets</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in corporate loans or participating in such loans that have floating or variable interest rates and, under normal market conditions, at least 65% of its</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets in floating rate or variable rate loans made to corporate borrowers or participating in such loans. Master LLC may invest directly in such securities</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or synthetically through the use of derivatives.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No assurance can be given that the Fund&#8217;s investment objective will be achieved.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Management Commentary</FONT></B><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>How did the Fund perform?</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2011, through its investment in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC, the Fund returned 6.61% based on NAV while the closed-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>end Lipper Loan Participation Funds category posted an average NAV return</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of 9.11% for the same period. All returns reflect reinvestment of dividends.</FONT><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>What factors influenced performance?</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The bank loan sector posted strong returns as risk assets rallied during the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period. Lower-quality sectors and credits outperformed their higher-quality</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparts and the high yield sector outperformed bank loans. Because</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC does not employ leverage, the Fund is expected to underper-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>form its Lipper category under strong market conditions as the category</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>includes many leveraged competitors. The Fund performed as expected</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>relative to its Lipper category as the bank loan and high yield sectors</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>advanced over the period.</FONT><BR><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC maintains a relatively conservative portfolio, weighted</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>toward higher-quality credits and loan structures. This strategy had a nega-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tive impact on relative performance as lower quality outperformed during</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the period.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Conversely, the Master LLC&#8217;s greater allocation to high yield bonds (averag-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing 11% of the portfolio during the period) relative to the Fund&#8217;s Lipper</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>category competitors had a positive impact on performance as high yield</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>outperformed the bank loan sector.</FONT><BR><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC frequently held cash committed for pending transactions;</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>these cash balances did not have a significant impact on performance.</FONT><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe recent portfolio activity.</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the period, the Master LLC modestly increased its level of risk as</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market conditions improved. In particular, the Master LLC increased expo-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sure to lower-quality credits and sectors that are more favorably impacted</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by rising commodity prices and an improving economy.</FONT><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe portfolio positioning at period end.</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>At period end, the Master LLC held 88% of its total portfolio in floating</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate loan interests and 12% in corporate bonds.</FONT><BR><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Effective March 21, 2011, the Fund merged into BlackRock Floating</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rate Income Portfolio, please refer to Notes 1 and 10 of the Notes to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>views are not intended to be a forecast of future events and are no guarantee of future results.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund, Inc.</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="35%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>November 3, 1989</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield based on Net Asset Value as of February 28, 2011 ($7.92)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.55%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Monthly Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.021539</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Annualized Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.280776</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund is a continuously offered closed-end fund that does not trade on an exchange.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield based on net asset value is calculated by dividing the current annualized distribution per share by the net asset value. Past performance does not guarantee future results.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The distribution rate is not constant and is subject to change.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The table below summarizes the change in the Fund&#8217;s NAV per share:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="34%"></TD>

   <TD width="31%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD>

   <TD width="6%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Change</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>High</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Asset Value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.92</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.59</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.35%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.92</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.59</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expense Example for Continuously Offered Closed-End Funds</FONT></B></P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="16%"></TD>

   <TD width="13%"></TD>

   <TD width="11%"></TD>

   <TD width="13%"></TD>

   <TD width="13%"></TD>

   <TD width="11%"></TD>

   <TD width="12%"></TD>

   <TD width="9%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Actual</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hypothetical</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>5</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beginning</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ending</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beginning</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ending</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses Paid</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses Paid</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Annualized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>September 1, 2010&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;February 28, 2011&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; During the Period</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>September 1, 2010&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; February 28, 2011&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; During the Period</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expense Ratio</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rate Fund, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,000.00</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,066.10</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.25</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,000.00</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,016.82</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.05</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.61%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown).</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Because the Fund is a feeder fund, the expense table reflects the expenses of both the feeder fund and the Master LLC in which it invests.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hypothetical 5% annual return before expenses is calculated by multiplying the number of days in the most recent fiscal half year divided by 365.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See &#8220;Disclosure of Expenses for Continuously Offered Closed-End Funds&#8221; on page 17 for futher information on how expenses were calculated.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 13</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of February 28, 2011 </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund II, Inc.</FONT></B><BR><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Objective</FONT></B><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund II, Inc.&#8217;s (the &#8220;Fund&#8221;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment objective is to provide as high a level of current income and such preservation of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>capital as is consistent with investment in senior collateralized corporate loans (&#8220;corporate loans&#8221;) primarily in the form of participation interests, as defined</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>below, in corporate loans made by banks or other financial institutions. The Fund seeks to achieve its investment objective by investing its assets in the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC ("Master LLC"), a separate closed-end, non-diversified management investment company. Master LLC may invest in a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>corporate loan either by participating as a co-lender at the time the loan is originated or by buying a participation or assignment interest in the corporate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan from a co-lender or a participant (collectively, &#8220;participation interests&#8221;). Master LLC invests, under normal market conditions, at least 80% of its assets</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in corporate loans or participating in such loans that have floating or variable interest rates and, under normal market conditions, at least 65% of its</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets in floating rate or variable rate loans made to corporate borrowers or participating in such loans. Master LLC may invest directly in such securities</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or synthetically through the use of derivatives.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No assurance can be given that the Fund&#8217;s investment objective will be achieved.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Management Commentary</FONT></B><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>How did the Fund perform?</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2011, through its investment in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC, the Fund returned 6.61% based on NAV while the closed-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>end Lipper Loan Participation Funds category posted an average NAV return</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of 9.11% for the same period. All returns reflect reinvestment of dividends.</FONT><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>What factors influenced performance?</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The bank loan sector posted strong returns as risk assets rallied during the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period. Lower-quality sectors and credits outperformed their higher-quality</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparts and the high yield sector outperformed bank loans. Because</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC does not employ leverage, the Fund is expected to underper-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>form its Lipper category under strong market conditions as the category</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>includes many leveraged competitors. The Fund performed as expected</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>relative to its Lipper category as the bank loan and high yield sectors</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>advanced over the period.</FONT><BR><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC maintains a relatively conservative portfolio, weighted</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>toward higher-quality credits and loan structures. This strategy had a nega-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tive impact on relative performance as lower quality outperformed during</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the period.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Conversely, the Master LLC&#8217;s greater allocation to high yield bonds (averag-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing 11% of the portfolio during the period) relative to the Fund&#8217;s Lipper</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>category competitors had a positive impact on performance as high yield</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>outperformed the bank loan sector.</FONT><BR><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC frequently held cash committed for pending transactions;</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>these cash balances did not have a significant impact on performance.</FONT><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe recent portfolio activity.</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the period, the Master LLC modestly increased its level of risk as</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market conditions improved. In particular, the Master LLC increased expo-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sure to lower-quality credits and sectors that are more favorably impacted</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by rising commodity prices and an improving economy.</FONT><BR><BR><STRONG><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe portfolio positioning at period end.</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>At period end, the Master LLC held 88% of its total portfolio in floating</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate loan interests and 12% in corporate bonds.</FONT><BR><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Effective March 21, 2011, the Fund merged into BlackRock Floating</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rate Income Portfolio, please refer to Notes 1 and 10 of the Notes to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>views are not intended to be a forecast of future events and are no guarantee of future results.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>14 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund II, Inc.</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="65%"></TD>

   <TD width="34%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March 26, 1999</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield based on Net Asset Value as of February 28, 2011 ($8.58)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.88%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Monthly Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.025547</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Annualized Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.333023</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund is a continuously offered closed-end fund that does not trade on an exchange.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield based on net asset value is calculated by dividing the current annualized distribution per share by the net asset value. Past performance does not guarantee future results.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The distribution rate is not constant and is subject to change.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The table below summarizes the change in the Fund&#8217;s NAV per share:</FONT></P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="34%"></TD>

   <TD width="31%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD>

   <TD width="6%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Change</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>High</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Asset Value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.58</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.22</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.38%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.58</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.22</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expense Example for Continuously Offered Closed-End Funds</FONT></B></P>

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<TABLE border=0 cellSpacing=0>



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   <TD width="12%"></TD>

   <TD width="9%"></TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Actual</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hypothetical</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>5</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beginning</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ending</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beginning</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ending</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses Paid</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses Paid</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Annualized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>September 1, 2010&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; February 28, 2011&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;During the Period</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>September 1, 2010&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; February 28, 2011&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; During the Period</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expense Ratio</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rate Fund II, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,000.00</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,066.10</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.56</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,000.00</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,016.52</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.35</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.67%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown).</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Because the Fund is a feeder fund, the expense table reflects the expenses of both the feeder fund and the Master LLC in which it invests.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hypothetical 5% annual return before expenses is calculated by pro rating the number of days in the most recent fiscal half year divided by 365.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See &#8220;Disclosure of Expenses for Continuously Offered Closed-End Funds&#8221; on page 17 for futher information on how expenses were calculated.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 15</FONT></P>

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<A name="page_18"></A><BR>

<P style="text-align: left;">
<FONT color="#394c87" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">The Benefits and Risks of Leveraging</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BHL, DVF, FRA and BLW may utilize leverage to seek to enhance the yield</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and NAV. However, these objectives cannot be achieved in all interest</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">rate environments.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Funds may utilize leverage by borrowing through a credit facility, partici-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">pation in the TALF, or through entering into reverse repurchase agreements</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and treasury roll transactions. In general, the concept of leveraging is based</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">on the premise that the financing cost of assets to be obtained from lever-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">age, which will be based on short-term interest rates, will normally be lower</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">than the income earned by each Fund on its longer-term portfolio invest-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ments. To the extent that the total assets of each Fund (including the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">assets obtained from leverage) are invested in higher-yielding portfolio</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">investments, each Fund&#146;s shareholders will benefit from the incremental</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">net income.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The interest earned on securities purchased with the proceeds from lever-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">age is paid to shareholders in the form of dividends, and the value of these</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">portfolio holdings is reflected in the per share NAV. However, in order to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">benefit shareholders, the yield curve must be positively sloped; that is,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">short-term interest rates must be lower than long-term interest rates. If the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">yield curve becomes negatively sloped, meaning short-term interest rates</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">exceed long-term interest rates, income to shareholders will be lower than if</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the Funds had not used leverage.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">To illustrate these concepts, assume a Fund&#146;s capitalization is &#36;100 million</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and it borrows for an additional &#36;30 million, creating a total value of &#36;130</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">million available for investment in long-term securities. If prevailing short-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">term interest rates are 3% and long-term interest rates are 6%, the yield</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">curve has a strongly positive slope. In this case, the Fund pays borrowing</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">costs and interest expense on the &#36;30 million of borrowings based on the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">lower short-term interest rates. At the same time, the securities purchased</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">by the Fund with assets received from the borrowings earn income based</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">on long-term interest rates. In this case, the borrowing costs and interest</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">expense of the borrowings is significantly lower than the income earned</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">on the Fund&#146;s long-term investments, and therefore the shareholders are</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the beneficiaries of the incremental net income.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">If short-term interest rates rise, narrowing the differential between short-term</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and long-term interest rates, the incremental net income pickup will be</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">reduced or eliminated completely. Furthermore, if prevailing short-term inter-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">est rates rise above long-term interest rates of 6%, the yield curve has a</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">negative slope. In this case, the Fund pays interest expense on the higher</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">short-term interest rates whereas the Fund&#146;s total portfolio earns income</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">based on lower long-term interest rates.</FONT></P>
<P style="text-align: left;">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Furthermore, the value of the Funds&#146; portfolio investments generally varies</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">inversely with the direction of long-term interest rates, although other</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">factors can influence the value of portfolio investments. In contrast, the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">redemption value of the Funds&#146; borrowings does not fluctuate in relation</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to interest rates. As a result, changes in interest rates can influence the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Funds&#146; NAV positively or negatively in addition to the impact on Fund</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">performance from leverage from borrowings discussed above.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The use of leverage may enhance opportunities for increased income to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the Funds and shareholders, but as described above, it also creates risks</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">as short or long-term interest rates fluctuate. Leverage also will generally</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">cause greater changes in the Funds&#146; NAVs, market prices and dividend</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">rates than comparable portfolios without leverage. If the income derived</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">from securities purchased with assets received from leverage exceeds the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">cost of leverage, each Fund&#146;s net income will be greater than if leverage</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">had not been used. Conversely, if the income from the securities purchased</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">is not sufficient to cover the cost of leverage, each Fund&#146;s net income will</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">be less than if leverage had not been used, and therefore the amount</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">available for distribution to shareholders will be reduced. Each Fund</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">may be required to sell portfolio securities at inopportune times or at dis-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tressed values in order to comply with regulatory requirements applicable</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to the use of leverage or as required by the terms of leverage instruments,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">which may cause a Fund to incur losses. The use of leverage may limit</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">each Fund&#146;s ability to invest in certain types of securities or use certain</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">types of hedging strategies. Each Fund will incur expenses in connection</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">with the use of leverage, all of which are borne by shareholders and may</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">reduce income.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Under the Investment Company Act of 1940, the Funds are permitted</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to borrow through their credit facility, through participation in the TALF or</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">entering into reverse repurchase agreements up to 33</FONT><FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif"><SUP> 1 </SUP>/<SUB> 3 </SUB></FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">% of their total man-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">aged assets. As of February 28, 2011, the Funds had outstanding leverage</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">from borrowings as a percentage of their total managed assets as follows:</FONT></P>
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<TABLE border=0 cellspacing=0>
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&nbsp;</TD>
	<TD align=right>
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Percent of</FONT></B>&nbsp;</TD>
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&nbsp;</TD>
	<TD align=right style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Leverage</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BHL</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">21%</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">DVF</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">21%</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">FRA</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">18%</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BLW</FONT>&nbsp;</TD>
	<TD align=right style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">21%</FONT>&nbsp;</TD>
</TR>
</TABLE>
</DIV>
<P style="MARGIN:0px">&nbsp;</P>
<P style="text-align: left;">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">16 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR noshade align="center" width="100%" size=2><DIV STYLE="page-break-before: always"></div>


<!--$$/page=--><A name="page_19"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Derivative Financial Instruments</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may invest in various derivative instruments, including swaps,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial futures contracts, foreign currency exchange contracts and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>options, as specified in Note 2 of the Notes to Financial Statements,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which may constitute forms of economic leverage. Such instruments are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>used to obtain exposure to a market without owning or taking physical cus-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tody of securities or to hedge market, interest rate, credit, equity and/or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>foreign currency exchange rate risks. Such derivative instruments involve</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risks, including the imperfect correlation between the value of a derivative</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instrument and the underlying asset, possible default of the counterparty</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the transaction or illiquidity of the derivative instrument. The Funds&#8217;<BR></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ability to use a derivative instrument successfully depends on the invest-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment advisor&#8217;s ability to predict pertinent market movements accurately,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which cannot be assured. The use of derivative instruments may result in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>losses greater than if they had not been used, may require a Fund to sell</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or purchase portfolio investments at inopportune times or for distressed</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>values, may limit the amount of appreciation a Fund can realize on an</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment, may result in lower dividends paid to shareholders or may</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cause a Fund to hold an investment that it might otherwise sell. The</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds&#8217; investments in these instruments are discussed in detail in the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Disclosure of Expenses for Continuously Offered Closed-End Funds</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shareholders of BlackRock Senior Floating Rate Fund, Inc. and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund II, Inc. may incur the following charges:</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a) expenses related to transactions, including early withdrawal fees; and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) operating expenses including administration fees, and other Fund</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expenses. The examples on the previous pages (which are based on a hypo-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>thetical investment of $1,000 invested on September 1, 2010 and held</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>through February 28, 2011) are intended to assist shareholders both in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>calculating expenses based on an investment in each Fund and in compar-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing these expenses with similar costs of investing in other mutual funds.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The tables provide information about actual account values and actual</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expenses. In order to estimate the expenses a shareholder paid during</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the period covered by this report, shareholders can divide their account</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value by $1,000 and then multiply the result by the number corresponding</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to their Fund under the heading entitled &#8220;Expenses Paid During the Period.&#8221;</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The tables also provide information about hypothetical account values and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>hypothetical expenses based on each Fund&#8217;s actual expense ratio and an</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assumed rate of return of 5% per year before expenses. In order to assist</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shareholders in comparing the ongoing expenses of investing in these</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds and other funds, compare the 5% hypothetical example with the 5%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>hypothetical examples that appear in other funds&#8217; shareholder reports.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The expenses shown in the tables are intended to highlight shareholders&#8217;</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ongoing costs only and do not reflect any transactional expenses, such</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as early withdrawal fees. Therefore, the hypothetical examples are useful</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in comparing ongoing expenses only, and will not help shareholders deter-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mine the relative total expenses of owning different funds. If these trans-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>actional expenses were included, shareholder expenses would have</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>been higher.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 17</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_20"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>February 28, 2011 (Unaudited) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="7%"></TD>

   <TD width="11%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ARES CLO Funds (a)(b):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2005-10A, Class B, 0.69%, 9/18/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 220,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2011-16A, Class C, 2.90%, 5/17/21 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>493,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Canaras Summit CLO Ltd., Series 2007-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.78%, 6/19/21 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>345</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>294,816</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Centurion CDO 9 Ltd., Series 2005-9A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.07%, 7/17/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>411,605</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Flagship CLO, Series 2006-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.64%, 9/20/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>825,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fraser Sullivan CLO Ltd., Series 2006-2A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.70%, 12/20/20 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>441,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gannett Peak CLO Ltd., Class A2:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2006-1A, 0.66%, 10/27/20 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>380</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>327,275</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2006-1X, 0.66%, 10/27/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>265</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>223,263</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs Asset Management CLO Plc,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-1A, Class B, 0.75%, 8/01/22 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>580</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>487,490</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>KKR CLO Ltd., Series 2005-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.75%, 4/26/17 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>456,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LCM LP, Series 8A, Class C, 3.37%, 1/14/21 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>299,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Landmark CDO Ltd., Series 2006-8A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.66%, 10/19/20 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>495</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>430,571</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MAPS CLO Fund LLC, Series 2005-1A, Class C,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.25%, 12/21/17 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>260</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>226,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portola CLO Ltd., Series 2007-1X, Class B1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.76%, 11/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>323,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>T2 Income Fund CLO Ltd., Series 2007-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.90%, 7/15/19 (a)(b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>257,379</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Asset-Backed Securities &#8212; 4.4%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,718,524</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common Stocks (d)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>E*Trade Financial Corp.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>260,474</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLB Worldwide Holdings, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,020</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>210,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Holdings/EduMedia</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53,267</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>266,335</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Common Stocks &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>737,009</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Air Canada, 9.25%, 8/01/15 (a)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>267,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Air Lines, Inc., Series B, 9.75%, 12/17/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>271</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>292,181</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>559,681</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi International Holdings Unsecured,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.00%, 10/06/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,215</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Icahn Enterprises LP, 7.75%, 1/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,125</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,161,562</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,175,777</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CF Industries, Inc., 6.88%, 5/01/18</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>415</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>458,316</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="65%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 5/01/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 181,575</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 5/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,390</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400,425</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,582,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>476</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>489,090</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>456,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Corp., 8.25%, 11/15/15</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>749,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ally Financial, Inc., 2.51%, 12/01/14 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,025</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,007,221</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FCE Bank Plc, 7.13%, 1/15/13</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>72,707</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Issuer, Inc., 6.88%, 2/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185,462</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,265,390</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ITC Deltacom, Inc., 10.50%, 4/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>197,550</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Communications International, Inc., Series B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 2/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>347</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>352,205</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>549,755</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp; Components &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CDW LLC, 8.00%, 12/15/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>230</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>247,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B&amp;G Foods, Inc., 7.63%, 1/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>320,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smithfield Foods, Inc., 10.00%, 7/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>177</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>208,860</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>529,110</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc., 7.25%, 9/15/20</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>237,325</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Health, Inc., 12.50%, 3/01/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>996,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MGM Resorts International, 11.13%, 11/15/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>276,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beazer Homes USA, Inc., 12.00%, 10/15/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>715</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>831,188</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#8212; 2.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>890</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>965,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Holdings Corp., 10.00%, 1/15/20 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>416,541</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Intermediate Holding Co. LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 12/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,325</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,383,104</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NRG Energy, Inc., 7.63%, 1/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,041,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,806,545</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clear Channel Worldwide Holdings, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.25%, 12/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>205,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B, 9.25%, 12/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>740</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>823,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Germany GmbH, 8.13%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>536,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,564,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FMG Resources August 2006 Pty Ltd.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 11/01/15 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>385</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>399,437</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Novelis, Inc., 8.38%, 12/15/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>430</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>474,075</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>873,512</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="34%"></TD>

   <TD width="7%"></TD>

   <TD width="22%"></TD>

   <TD width="14%"></TD>

   <TD width="22%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Abbreviations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>To simplify the listings of portfolio holdings in the</FONT>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>CAD</FONT></B>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Canadian Dollar</FONT>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>GO</FONT></B>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Obligation</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Schedules of Investments, the names and descriptions of</FONT>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>EUR</FONT></B>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>MSCI</FONT></B>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Morgan Stanley Capital International</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>many of the securities have been abbreviated according</FONT>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>FKA</FONT></B>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Formerly Known As</FONT>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>USD</FONT></B>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Dollar</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the following list:</FONT>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>GBP</FONT></B>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>British Pound</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>18 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_21"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coffeyville Resources LLC, 9.00%, 4/01/15 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>126</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 137,340</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verso Paper Holdings LLC, 11.50%, 7/01/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc., 7.75%, 5/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,125</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,189,688</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nextel Communications, Inc., Series E, 6.88%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>277,234</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,466,922</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#8212; 14.3%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,474,526</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#8212; 3.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DynCorp International, Term Loan, 6.25%, 7/07/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>773</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>779,344</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawker Beechcraft Acquisition Co., LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Linked Deposit, 0.20%, 3/26/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,129</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.26% &#8211; 2.30%, 3/26/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>536,028</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SI Organization, New Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 11/22/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>875</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>881,562</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Scitor Corp., Term Loan B, 5.75%, 2/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>697,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TASC, Inc., Tranche A Term Loan, 5.50%, 12/18/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>153</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>153,287</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransDigm, Inc., Term Loan (First Lien), 5.25%, 2/14/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>855,075</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,934,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allison Transmission, Inc., Term Loan, 3.02%, 8/07/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>729</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>726,576</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Armored Autogroup, Inc. (FKA Viking Aquisition, Inc.)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 6.00%, 11/02/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>520</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>522,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UCI International, Inc., Term Loan, 5.50%, 7/06/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>351,203</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600,379</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Automobiles &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Co.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 3.02%, 12/15/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,202</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,201,645</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 3.02%, 12/15/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,631</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,221,276</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Biotechnology &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Grifols SA, Term Loan B, 6.00% 10/01/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>607,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#8212; 3.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Armstrong World Industries, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 5/17/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>625</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>632,025</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CPG International I, Inc., Term Loan B, 6.00%, 2/03/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>802,504</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goodman Global, Inc., Initial Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 10/13/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,244</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,260,858</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Momentive Performance Materials (Blitz 06-103 GmbH),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2B Term Loan, 4.36%, 5/05/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>569</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>763,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,459,012</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 1.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Capital Ltd., Term Loan B, 7.50%, 12/31/13</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>221,022</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HarbourVest Partners, Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 11/10/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>988</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>992,438</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nuveen Investments, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Term Loan, (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50% &#8211; 5.81%, 5/13/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>782</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>779,207</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non Extended Term Loan (First Lien), 3.30%, 11/13/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>541</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>524,554</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,517,221</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 7.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AZ Chem US, Inc., Term Loan B, 6.75%, 11/18/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>495</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>499,731</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CF Industries, Inc., Term Loan B-1, 4.25%, 4/05/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,138</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chemtura Corp., Term Facility, 5.50%, 8/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>755,938</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Chemical Corp., Tranche B Term Loan, 5.00%,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>998</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,012,462</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Matrix Acquisition Corp. (MacDermid, Inc.), Tranche B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.26%, 4/12/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>481</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>473,596</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="8%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nexeo Solutions LLC, Term Loan B, 5.00%, 8/31/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 576,677</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PQ Corp. (FKA Niagara Acquisition, Inc.), Original Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility (First Lien), 3.52% &#8211; 3.56%, 7/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>827</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>813,668</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rockwood Specialties Group, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.75%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>808,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia, Inc., Term Loan, 4.50%, 3/17/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>595</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>595,573</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Styron Sarl, Term Loan B, 6.00%, 7/27/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,210,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tronox Worldwide LLC, Exit Term Loan, 7.00%, 12/24/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,375</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,386,454</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Univar, Inc., Term Loan B, 5.00% 6/30/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,204,126</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,388,663</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., Tranche 3 Term Loan, 6.25%, 8/11/15</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,830</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,853,256</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#8212; 5.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ARAMARK Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit - 1 Facility, 0.11%, 1/26/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,357</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit - 2 Facility, 0.11%, 7/26/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,891</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan, 2.18%, 1/26/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>116</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>116,148</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan B, 3.55%, 7/26/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>211</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>211,226</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AWAS Finance Luxembourg Sarl, Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 6/10/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>242</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>247,990</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Adesa, Inc. (KAR Holdings, Inc.), Initial Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.02%, 10/21/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>306</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>305,056</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advanced Disposal Services, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 1/14/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>396</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>398,475</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Altegrity, Inc., (FKA US Investigations Services, Inc.)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D Term Loan, 7.75%, 2/21/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>746</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>761,175</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Casella Waste Systems, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 4/09/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>556</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>555,609</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>825</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>832,071</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Diversey, Inc. (FKA Johnson Diversey, Inc.), Tranche B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar Term Loan, 5.25%, 11/24/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>429</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>428,958</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Protection One, Inc., Term Loan, 6.00%, 6/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>464</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>464,854</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Quad/Graphics, Inc., Term Loan, 5.50%, 4/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>274</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>272,371</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synagro Technologies, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.27%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>972</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>904,232</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Volume Services America, Inc. (Centerplate),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 10.50% &#8211; 10.75%, 8/24/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>499</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>503,528</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>West Corp., Term Loan B, 4.53% &#8211; 4.71%, 7/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>402,426</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,427,367</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Communications Equipment &#8212; 1.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avaya, Inc. Term Loan B:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.06%, 10/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>558</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>540,816</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.81%, 10/24/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>909</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>890,887</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CommScope, Inc., Term Loan B, 5.00%, 1/06/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,014,583</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,446,286</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Safway Services, LLC, First Out Tranche Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 12/18/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fairmount Minerals Ltd., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25% &#8211; 6.75%, 8/05/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>404</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>408,494</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Springleaf Financial Funding Co. (FKA AGFS Funding Co.),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 7.25%, 4/21/15</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,816,020</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Anchor Glass Container Corp., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 3/02/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>171</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>171,162</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Holding Corp., Term Loan C,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.29% &#8211; 2.31%, 4/03/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>506</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>491,568</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Graham Packaging Co., LP, Term Loan D, 6.00%, 9/16/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>998</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,005,160</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,667,890</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#8212; 3.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Laundry Corp., Delayed Draw Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.26%, 11/14/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>246</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>231,491</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Service Corp., Term Loan, 3.31%, 11/14/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,457</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,366,049</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 19</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_22"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Laureate Education:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Term Loan, 3.55%, 8/17/14</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>739</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 723,836</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 3.55%, 8/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>111</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>108,368</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series A New Term Loan, 7.00%, 8/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,125</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,131,562</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ServiceMaster Co.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Term Loan, 2.76% &#8211; 2.81%, 7/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>928</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>913,024</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.77%, 7/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>92</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>90,924</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,565,254</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 2.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MSCI, Inc., Term Loan B, 4.75%, 6/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>761</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>764,667</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Holdings, Inc., Term Loan E,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.25%, 2/09/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,010,416</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Whitelabel IV SA (Ontex):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 6.75%, 8/11/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>151</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>210,384</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B2, 6.75%, 8/11/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>249</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>348,157</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,333,624</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#8212; 3.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawaiian Telcom Communications, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 10/28/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>655</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>665,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Integra Telecom Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.25%, 4/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>821</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>830,725</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 Financing, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Incremental Tranche A Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.55%, 3/13/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,462,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 11.50%, 3/13/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>134,063</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Telepacific Corp., Term Loan B, 5.75%, 2/18/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>754,219</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,847,482</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Development Holdings LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 7/03/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,387</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400,924</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp; Components &#8212; 1.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CDW LLC (FKA CDW Corp.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Term Loan B, 3.51%, 7/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>495</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>494,615</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non Extended Term Loan, 4.26%, 10/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>685</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>683,478</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Flextronics International Ltd., Closing Date Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.51%, 10/01/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>434</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>432,787</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Matinvest 2 SAS/Butterfly Wendel US, Inc.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Deutsche Connector):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B-2, 3.46%, 6/22/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>319</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>307,817</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C-2, 4.21%, 6/22/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>268</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>258,514</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,177,211</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp., Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 4/03/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>967</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>976,040</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#8212; 3.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.58%, 7/09/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,410,045</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bolthouse Farms, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50% &#8211; 5.75%, 2/11/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>478</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>481,091</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pilot Travel Centers LLC, Initial Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 6/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>858</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>865,645</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rite Aid Corp., Term Loan B, 6.00%, 7/09/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>219</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>219,278</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Foodservice, Inc., Term Loan B, 2.76%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,023</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>987,932</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,963,991</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#8212; 6.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advance Pierre Foods, Term Loan (Second Lien):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 9/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>958</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>964,183</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.25%, 9/29/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>512,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CII Investment, LLC (FKA Cloverhill):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 8.50%, 10/14/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>140</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>139,015</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A, 8.50%, 10/14/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>427</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>422,464</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 8.50%, 10/14/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>519</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>513,808</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Del Monte Corp., Term Loan B, 4.50%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,220,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="65%"></TD>

   <TD width="5%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Green Mountain Coffee Roasters, Inc., Term Loan B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility, 5.50%, 11/09/16</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 402,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michael Foods Group, Inc. (FKA M-Foods Holdings, Inc.),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 4.25%, 2/25/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>482</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>482,484</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michaels Stores, Inc., Term Loan B, 4.25%, 2/28/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pinnacle Foods Finance LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.76%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>134,494</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D Term Loan, 6.00%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>532</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>535,945</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solvest, Ltd. (Dole):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 5.00% &#8211; 5.50%, 3/02/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>282</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>284,059</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-1 Term Loan, 5.00% &#8211; 5.50%, 3/02/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>701</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>705,208</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,371,785</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Biomet, Inc., Dollar Term Loan, 3.26% &#8211; 3.30%, 3/25/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>201</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200,342</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DJO Finance LLC (FKA ReAble Therapeutics Finance LLC),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.26%, 5/20/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>339</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>336,865</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fresenius SE:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-1 Dollar Term Loan, 4.50%, 9/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>415</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>417,101</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-2 Term Loan, 4.50%, 9/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>226</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>227,096</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,181,404</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 6.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.51% &#8211; 2.56%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53,679</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Term Loan, 3.76% &#8211; 3.81%, 1/25/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>442</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>442,755</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non Extended Term Loan, 2.51% &#8211; 2.56%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,058</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,049,453</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>602,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>906,422</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc., Tranche A-1 Term Loan, 1.55%, 11/16/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,505</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,496,840</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harden Healthcare, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Additional Term Loan, 7.75%, 3/02/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>570</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>558,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 8.50%, 2/22/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>360</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>352,889</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>inVentiv Health, Inc. (FKA Ventive Health, Inc.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 4.75%, 7/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,264</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,269,354</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B2, 4.75%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>167</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>167,396</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B2, 6.50%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>333</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>334,583</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Renal Advantage Holdings, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 12/03/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>608,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vanguard Health Holding Co. II, LLC (Vanguard Health</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Systems, Inc.), Initial Term Loan, 5.00%, 1/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>913</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>919,404</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,762,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Health, Inc., Tranche B Dollar Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 2/26/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>957</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>965,289</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MedAssets, Inc., Term Loan B, 5.25%, 11/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>604,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,569,789</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 8.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLB Management Services, Inc., (Wembly, Inc.)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Exit), 8.50%, 11/05/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>610</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>613,835</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boyd Gaming Corp., Term Loan A, 3.81%, 12/31/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>321,074</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dunkin' Brands, Inc., Term Loan B, 4.25%, 11/09/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,107,556</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gateway Casinos &amp; Entertainment, Ltd., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50% &#8211; 7.50%, 5/12/16</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,173</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,212,114</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrah's Operating Co., Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 3.30%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>175</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>162,483</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 3.30%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>145</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>134,332</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 3.30%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,017</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,801,458</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-4, 9.50%, 10/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>268</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>283,476</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Penn National Gaming, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.01% &#8211; 2.06%, 10/03/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>566</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>564,623</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Seaworld Parks &amp; Entertainment, Inc. (FKA SW</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aquisitions Co., Inc.) Term B Loan, 4.00%, 8/17/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,039</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,041,523</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sea World, Term Loan B, 4.00%, 8/16/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>361</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>362,442</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Six Flags Theme Parks, Inc., Tranche B Term Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 5.25% &#8211; 5.50%, 6/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>822</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>831,655</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Travelport LLC (FKA Travelport, Inc.), Extended Delayed</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Draw Term Loan, 4.96%, 8/21/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>219</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>212,665</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>20 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_23"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="8%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Universal City Development Partners Ltd., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 11/16/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>496</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 501,351</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>VML US Finance LLC (FKA Venetian Macau):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Project Term Loan, 4.79%, 5/27/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>274,943</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Delayed Draw Project Loan, 4.79%, 5/25/12</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>411</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>411,066</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Funded Project Loan, 4.79%, 5/27/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>716</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>716,867</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,553,463</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Visant Corp. (FKA Jostens), Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 12/20/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,398</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,404,499</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#8212; 4.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ceridian Corp., US Term Loan, 3.26%, 11/09/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>796</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>783,628</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>273</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275,326</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan, 3.01%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,255</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,188,115</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.01%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>749</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>709,337</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.01%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,652</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,563,733</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransUnion LLC, Replacement Term Loan, 4.75%, 2/03/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,468</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,476,261</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,996,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Texas Competitive Electric Holdings Co., LLC (TXU), Initial</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-3 Term Loan, 3.76% &#8211; 3.80%, 10/10/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,447</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,216,408</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#8212; 1.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp., Term Loan, 3.56%, 12/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>888</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>878,597</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tomkins Plc, Term Loan A, 4.25%, 9/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,283</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,293,229</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,171,826</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CNO Financial Group, Inc., Term Loan, 7.50%, 9/30/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,207,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Internet &amp; Catalog Retail &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FTD Group, Inc., Tranche B Term Loan, 6.75%, 8/26/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>179</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>179,086</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navistar Financial Corp., Term Loan B, 4.55%, 12/16/12</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>373,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Marine &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Horizon Lines, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolving Loan, 3.31%, 8/08/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>246</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>228,439</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.31%, 8/08/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>134</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>127,782</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>356,221</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 21.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acosta, Inc., Term Loan, 4.75%, 2/03/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,108,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group, Inc., Tranche B Term Loan:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 10/09/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>744</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>748,097</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 10/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>301,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Atlantic Broadband Finance, LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 11/12/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>458</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>458,383</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bresnan Telecommunications Co. LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 11/30/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,458,861</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc. (Thomson Learning):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.55%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,496</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,439,655</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche 1 Incremental Term Loan, 7.50%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>376,736</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cequel Communications, LLC, New Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.26%, 11/05/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>531</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>529,518</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Charter Communications Operating, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 7.25%, 3/06/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>181</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>182,634</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 3.56%, 9/06/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,610</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,613,589</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clarke American Corp., Term Facility B, 2.80%, 6/30/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>616</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>587,704</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FoxCo Acquisition Sub, LLC, Term Loan, 7.50%, 7/14/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>648</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>647,069</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Getty Images, Inc., Initial Term Loan B, 5.25%, 10/29/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>998</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,009,657</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Publishing Co., Ltd., Tranche A Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.01%, 6/12/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>614</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>583,504</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Jackson Holdings S.A. (FKA Intelsat Jackson</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Holdings Ltd.), Tranche B Term Loan, 5.25%, 3/07/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,020,157</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interactive Data Corp., Term B Loan, 4.75%, 2/08/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,260,267</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Knology, Inc., Term Loan B, 4.00%, 8/31/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>553,437</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lavena Holding 3 GmbH (Prosiebensat.1 Media AG):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.68%, 6/28/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>460</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>583,687</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C1, 3.93%, 6/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>460</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>583,687</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="17%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mediacom Illinois, LLC (FKA Mediacom</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Communications, LLC):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D Term Loan, 5.50%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>199</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 200,236</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche E Term Loan, 4.50%, 10/23/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>498</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>497,189</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Newsday, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fixed Rate Term Loan, 10.50%, 8/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Term Loan, 6.55%, 8/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>508,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A Dollar Term Loan, 2.26%, 8/09/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,312</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class B Dollar Term Loan, 4.01%, 5/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,147</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,152,634</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sinclair Television Group, Inc., New Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 10/29/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>409</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>413,523</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Springer Science+Business Media SA, Facility A1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 7/01/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,533,133</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunshine Acquisition Ltd. (FKA HIT Entertainment),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 5.56%, 6/01/12</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,018</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>995,912</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Broadband Holding B.V., Term U, 4.88%, 12/31/17 EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>630</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>866,971</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Univision Communications, Inc., Extended First Lien</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.52%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,054</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,025,461</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Investment Holdings Ltd., Facility B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.53%, 12/31/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,219,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Weather Channel, Term Loan B, 4.25%, 2/01/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,160,637</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yell Group Plc/Yell Finance (UK) Ltd., Facility A3,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.76%, 8/09/11</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>633</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>613,828</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,108,603</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euramax International, Inc., Domestic Term Loan:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 6/29/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>244</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>234,759</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.00%, 6/29/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>237</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>228,546</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Novelis Corp., Term Loan, 5.25%, 12/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,416,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,879,805</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FirstLight Power Resources, Inc. (FKA NE Energy, Inc.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 0.16%, 11/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,970</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Advance (First Lien), 2.81%, 11/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>196</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195,221</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>199,191</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#8212; 2.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp., Tranche B-2 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.01%, 7/07/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>316</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>315,687</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hema Holding BV, Facility D, 5.91%, 1/01/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,440,455</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Neiman Marcus Group, Inc., Tranche B-2 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.30%, 4/06/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>521</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>523,415</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,279,557</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EquiPower Resources Holdings, LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 1/11/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>654,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Obsidian Natural Gas Trust, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 11/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,086</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,113,348</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,768,223</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Georgia-Pacific LLC, Term Loan B, 2.30%, 12/23/12</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>548</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>547,981</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Personal Products &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NBTY, Inc., Term Loan B:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 9/20/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>808,166</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 10/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>590</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>590,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,398,166</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Axcan Intermediate Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 2/03/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>667</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>668,333</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Additional Term Loan, 6.25%, 4/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>197</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>198,263</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan B, 6.25%, 4/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>246</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>247,630</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A, 6.00%, 10/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>435</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>434,785</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 6.25%, 4/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>149</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>149,727</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 6.50%, 2/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,704,113</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 21</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_24"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="9%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Professional Services &#8212; 1.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Booz Allen Hamilton, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.00%, 8/01/17</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 1,325</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,337,588</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fifth Third Processing Solutions, LLC, Term Loan B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 5.50%, 10/21/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>806,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,143,788</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Investment Trusts (REITs) &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iStar Financial, Inc., Term Loan (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.76%, 6/28/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#8212; 1.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realogy Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Exit Term Loan, 3.29%, 10/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>265,203</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term Loan B, 4.56%, 10/10/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>201</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>192,971</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 4.51%, 10/10/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,868</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 4.56%, 10/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,754</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,682,067</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 4.51%, 10/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>128</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>122,703</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,285,812</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Road &amp; Rail &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transtar Industries, Term Loan (First Lien), 6.25%, 12/07/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>228,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Freescale Semiconductor, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.51%, 12/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>443</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>442,383</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Microsemi Corp., Term Loan B, 5.00%, 10/25/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>501,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>943,633</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rovi Corp., Term Loan B, 4.00%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>454,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Telcordia Technologies, Inc., Term Loan, 6.75%, 4/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>596</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>598,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vertafore, Inc., New Term Loan B, 5.25%, 7/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>310</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>312,325</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,365,675</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#8212; 4.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Burlington Coat Factory Warehouse Corp., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 2/18/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>451,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gymboree Corp., Term Loan B, 5.00%, 2/11/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>651,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J. Crew Group, Inc., Term Loan B, 5.25%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Matalan Finance Plc, Term Facility, 5.61%, 3/24/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>277</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>448,259</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michaels Stores, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 2.56%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>334</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>333,231</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 4.81% &#8211; 4.87%, 7/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>231</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>232,697</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Petco Animal Supplies, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 11/24/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Toys 'R' Us Delaware, Inc., Initial Loan, 6.00%, 8/17/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>866</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>872,007</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,389,644</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Philips Van Huesen Corp., US Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 5/06/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>541</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>543,547</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#8212; 1.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Digicel International Finance Ltd., US Term Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Non-Rollover), 2.81%, 3/30/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>704</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>695,064</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetroPCS Wireless, Inc., Tranche B-2 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.81%, 11/03/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>773</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>776,230</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vodafone Americas Finance 2 Inc., Initial Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 7/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>776</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>803,675</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,274,969</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Floating Rate Loan Interests &#8212; 122.3%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>157,865,747</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beneficial</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Interests (e)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi Debtor-in-Possession Holding Co. LLP,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class B Membership Interests</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;(f)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,282,194</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Other Interests &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,282,194</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $178,235,192) &#8212; 142.6%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>184,078,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="15%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund, Institutional</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class, 0.15%, (g)(h)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,517,571</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp; 4,517,571</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $4,517,571) &#8212; 3.5%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,517,571</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments (Cost &#8212; $182,752,763*) &#8212; 146.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>188,595,571</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#8212; (46.1%)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(59,524,659)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets &#8212; 100.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$129,070,912</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>* The cost and unrealized appreciation (depreciation) of investments as of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2011, as computed for federal income tax purposes, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="57%"></TD>

   <TD width="42%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$182,752,213</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;&nbsp;6,512,224</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(668,866)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp; 5,843,358</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Variable rate security. Rate shown is as of report date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) When-issued security. Unsettled when-issued transactions were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="42%"></TD>

   <TD width="37%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Depreciation)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank of America &amp; Co.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 493,150</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(d) Non-income producing security.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Other interests represent beneficial interest in liquidation trusts and other reorgani-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>zation entities and are non-income producing.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Amount is less than $1,000.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Investments in companies considered to be an affiliate of the Fund during the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as amended, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="16%"></TD>

   <TD width="30%"></TD>

   <TD width="15%"></TD>

   <TD width="25%"></TD>

   <TD width="11%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Affiliate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31, 2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Activity</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class 1,172,197</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,345,374</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,517,571</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,102</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(h) Represents the current yield as of report date.</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For Fund compliance purposes, the Fund&#8217;s industry classifications refer to any one</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or rating group indexes, and/or as defined by Fund management.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>This definition may not apply for purposes of this report, which may combine such</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>industry sub-classifications for reporting ease.</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of February 28, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="6%"></TD>

   <TD width="14%"></TD>

   <TD width="6%"></TD>

   <TD width="16%"></TD>

   <TD width="20%"></TD>

   <TD width="15%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Settlement&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Purchased</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Sold</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Depreciation)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,175,902</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,166,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (23,058)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,675,638</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,702,500</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(90,878)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>297,000</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>402,890</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/27/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,661</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>57,230</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,500</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/27/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,376)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,534,050</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,508,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Royal Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Scotland</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/27/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(61,263)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (169,914)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif><BR>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fair Value Measurements &#8212; Various inputs are used in determining the fair value of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments and derivatives. These inputs are summarized in three broad levels for</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial statement purposes as follows:</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#8212; price quotations in active markets/exchanges for identical assets</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and liabilities</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2 &#8212; other observable inputs (including, but not limited to: quoted prices for</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>similar assets or liabilities in markets that are active, quoted prices for identical or</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>similar assets or liabilities in markets that are not active, inputs other than quoted</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prices that are observable for the assets or liabilities (such as interest rates, yield</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>curves, volatilities, prepayment speeds, loss severities, credit risks and default</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates) or other market-corroborated inputs)</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>22 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 &#8212; unobservable inputs based on the best information available in the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>circumstances, to the extent observable inputs are not available (including the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund's own assumptions used in determining the fair value of investments</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and derivatives)<BR></FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodologies used for valuing securities are not necessarily an indica-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion of the risk associated with investing in those securities. For information about the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund's policy regarding valuation of investments and derivatives and other significant</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accounting policies, please refer to Note 1 of the Notes to Financial Statements.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of February 28, 2011 in deter-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mining the fair valuation of the Fund's investments and derivatives:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="22%"></TD>

   <TD width="18%"></TD>

   <TD width="19%"></TD>

   <TD width="19%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments in</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset-Backed</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,721,646</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,996,878</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,718,524</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Stocks .</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 260,474</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>476,535</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>737,009</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds.</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,460,311</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,215</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,474,526</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan Interests</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>141,373,620</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,492,127</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>157,865,747</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,282,194</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,282,194</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Short-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,517,571</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,517,571</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitments .</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,074</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,656</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,730</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitments .</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,560)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,560)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,778,045</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$162,863,845</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 20,976,851</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$188,618,741</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="26%"></TD>

   <TD width="24%"></TD>

   <TD width="20%"></TD>

   <TD width="14%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="99%" colSpan=5 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Derivative Financial Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B></TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="26%" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="24%" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="20%" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="14%" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="15%" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="26%" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD width="24%" align=middle>&nbsp;</TD>

   <TD width="20%" align=left>&nbsp;</TD>

   <TD width="14%" align=left>&nbsp;</TD>

   <TD width="15%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="26%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</FONT>&nbsp;</TD>

   <TD width="24%" align=middle>&nbsp;</TD>

   <TD width="20%" align=left>&nbsp;</TD>

   <TD width="14%" align=left>&nbsp;</TD>

   <TD width="15%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" width="26%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>

   <TD width="24%" align=middle>&nbsp;</TD>

   <TD width="20%" align=left>&nbsp;</TD>

   <TD width="14%" align=left>&nbsp;</TD>

   <TD width="15%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" width="26%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 6px" width="24%" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212; </FONT></TD>

   <TD width="20%" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>6,661</FONT>&nbsp;</TD>

   <TD width="14%" align=middle>&nbsp;<FONT color=#231f20 size=1 face=Arial>&#8212; </FONT></TD>

   <TD style="TEXT-INDENT: 2px" width="15%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>6,661</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="26%" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD width="24%" align=middle>&nbsp;</TD>

   <TD width="20%" align=left>&nbsp;</TD>

   <TD width="14%" align=middle>&nbsp;</TD>

   <TD width="15%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="26%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</FONT>&nbsp;</TD>

   <TD width="24%" align=middle>&nbsp;</TD>

   <TD width="20%" align=left>&nbsp;</TD>

   <TD width="14%" align=middle>&nbsp;</TD>

   <TD width="15%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" width="26%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>

   <TD width="24%" align=middle>&nbsp;</TD>

   <TD width="20%" align=left>&nbsp;</TD>

   <TD width="14%" align=middle>&nbsp;</TD>

   <TD width="15%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" width="26%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 6px" width="24%" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="20%" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(176,575)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="14%" align=middle>&nbsp;<FONT color=#231f20 size=1 face=Arial>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="15%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(176,575)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="26%" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 6px" width="24%" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212; </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="20%" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>(169,914)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="14%" align=middle>&nbsp;<FONT color=#231f20 size=1 face=Arial>&#8212; </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="15%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>(169,914)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivative financial instruments are foreign currency exchange contracts. Foreign</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts are valued at the unrealized appreciation/depreci-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ation on the instrument.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="37%"></TD>

   <TD width="16%"></TD>

   <TD width="8%"></TD>

   <TD width="8%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate</FONT></B>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Stocks</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan Interests</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitments</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2010</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 270,181</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12,664</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$20,437,083</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$20,719,928</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14,544</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>981</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>238,946</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>254,471</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>136,631</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>136,631</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(451,694)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,481</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>570</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>845,429</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,656</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>413,442</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,434,028</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>188,873</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,158,794</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,781,695</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sales</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12,465,469)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12,465,469)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers in</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,366,049</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,366,049</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers out</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,225,336)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,225,336)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance, as of February 28, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,996,878</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 476,535</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14,215</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$16,492,127</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,656</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$20,981,411</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in the unrealized appreciation/depreciation on the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities still held on February 28, 2011 was $(148,175).</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund&#8217;s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following is a reconciliation of Level 3 derivative financial instruments for which</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>significant unobservable inputs were used in determining fair value:<BR></FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="70%"></TD>

   <TD width="29%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitments</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2010</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (46,743)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,183</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sales</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers in</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers out</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance, as of February 28, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (4,560)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Included in the related net change in unrealized appreciation/depreciation in</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Statements of Operations. The change in unrealized appreciation/deprecia-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion on securities still held at February 28, 2011 was $42,183.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund&#8217;s policy is to recognize transfers in and transfers out as of the end of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the period of the event or the change in circumstances that caused the transfer.<BR></FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 23</FONT></P>

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<!--$$/page=--><A name="page_26"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>February 28, 2011 (Unaudited)<BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="18%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ARES CLO Funds (a)(b):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2005-10A, Class B, 0.69%, 9/18/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 220,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2011-16A, Class C, 2.90%, 5/17/21 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>493,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Canaras Summit CLO Ltd., Series 2007-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.78%, 6/19/21 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>365</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>311,907</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Centurion CDO 9 Ltd., Series 2005-9A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.07%, 7/17/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>411,605</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Flagship CLO, Series 2006-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.64%, 9/20/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>825,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fraser Sullivan CLO Ltd., Series 2006-2A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.70%, 12/20/20 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>441,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gannett Peak CLO Ltd., Class A2:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2006-1A, 0.66%, 10/27/20 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>405</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>348,806</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2006-1X, 0.66%, 10/27/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>235,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>KKR CLO Ltd., Series 2005-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.75%, 4/26/17 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>456,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LCM LP, Series 8A, Class C, 3.37%, 1/14/21 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>349,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Landmark CDO Ltd., Series 2006-8A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.66%, 10/19/20 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>525</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>456,666</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MAPS CLO Fund LLC, Series 2005-1A, Class C,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.25%, 12/21/17 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>239,937</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portola CLO Ltd., Series 2007-1X, Class B1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.76%, 11/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>370</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>342,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>T2 Income Fund CLO Ltd., Series 2007-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.90%, 7/15/19 (a)(b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>320</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>274,538</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Asset-Backed Securities &#8212; 4.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,407,009</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common Stocks (d)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>E*Trade Financial Corp.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>228,514</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,613</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>81</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nortek, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,570</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69,865</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electrical Equipment &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Medis Technologies Ltd.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>176,126</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,699</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Buffets Restaurants Holdings, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>688</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,924</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euramax International</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>468</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>123,887</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd. (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>349,782</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,155,679</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bankruptcy Management Solutions, Inc.</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>536</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,877</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Holdings/EduMedia</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45,526</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>227,630</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TiVo, Inc.</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,755</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>141,401</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>370,908</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Common Stocks &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,955,557</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Air Lines, Inc., Series B, 9.75%, 12/17/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 271</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>292,182</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>United Air Lines, Inc., 12.75%, 7/15/12</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>295</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>329,242</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>621,424</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi International Holdings Unsecured,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.00%, 10/06/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,215</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Icahn Enterprises LP, 7.75%, 1/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,065</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,099,612</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,113,827</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="7%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>E*Trade Financial Corp., 3.95% 8/31/19 (a)(e)(f)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>83</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 128,235</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>KKR Group Finance Co., 6.38%, 9/29/20 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>80</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>82,426</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>210,661</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CF Industries, Inc., 6.88%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>445</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>491,447</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc., Subordinate Note (e):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Second Lien), 10.00%, 1/29/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>894</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>777,780</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Third Lien), 5.00%, 1/29/19 (g)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>301</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>117,329</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,386,556</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 5/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,775</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 5/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 5/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,575</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,586,813</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Glitnir Banki HF, 6.38%, 9/25/12 (a)(d)(h)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>365</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,748,638</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>624</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>641,160</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>260</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>279,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>920,660</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nortek, Inc., 11.00%, 12/01/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>639</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>680,083</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>483,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit Kappa Acquisitions (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>365,689</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 11/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>354,373</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>720,062</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 1.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ally Financial, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.38%, 6/06/11</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>110</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>151,795</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 9/15/11</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>153,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 12/31/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.51%, 12/01/14 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>736,991</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 3/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,525</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 9/15/20 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>260</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>284,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 11/01/31</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 11/01/31</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>110</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125,993</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>80</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>88,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>319,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Issuer, Inc. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 10/15/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>292,551</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195,488</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,426,943</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ITC Deltacom, Inc., 10.50%, 4/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>241,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Communications International, Inc., Series B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 2/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>347</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>352,205</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>593,655</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp; Components &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CDW LLC, 8.00%, 12/15/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>268,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B&amp;G Foods, Inc., 7.63%, 1/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>320,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smithfield Foods, Inc., 10.00%, 7/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>177,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>497,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc., 7.25%, 9/15/20</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>235</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>253,506</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Health, Inc., 12.50%, 3/01/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>469,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>24 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_27"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="8%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Caesars Entertainment Operating Co., Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 12/15/18</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 23,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Little Traverse Bay Bands of Odawa Indians,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 8/31/20 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>242</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>199,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MGM Resorts International, 11.13%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>390</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>449,475</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Travelport LLC, 4.94%, 9/01/14 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>810</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>722,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tropicana Entertainment LLC, Series WI,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.63%, 12/15/14 (d)(h)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,395,562</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beazer Homes USA, Inc., 12.00%, 10/15/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>581,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#8212; 2.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>813,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Holdings Corp., 10.00%, 1/15/20 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>416,541</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Intermediate Holding Co. LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 12/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,325</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,383,104</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NRG Energy, Inc., 7.63%, 1/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,041,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,654,645</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp., 13.50%, 12/01/15 (a)(g)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>722</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>799,138</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 2.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CSC Holdings, Inc., 8.50%, 4/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>201,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.50%, 1/15/15 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>625</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>648,437</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Checkout Holding Corp., 10.69% 11/15/15 (a)(f)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>274,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clear Channel Worldwide Holdings, Inc., Series B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.25%, 12/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>774</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>861,075</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>322,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Germany GmbH, 8.13%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,072,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,380,237</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FMG Resources August 2006 Pty Ltd.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 11/01/15 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>410</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Novelis, Inc., 8.38%, 12/15/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>455</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>501,637</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>RathGibson, Inc., 11.25%, 2/15/14 (d)(h)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,390</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>139</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>927,151</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp., 11.88%, 7/15/17 (g)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>215</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>248,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coffeyville Resources LLC, 9.00%, 4/01/15 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>147,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (a)(g)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>720</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>731,291</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clearwater Paper Corp., 10.63%, 6/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>190</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>217,075</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verso Paper Holdings LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.50%, 7/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>160</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>176,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B, 4.05%, 8/01/14 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>170</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>169,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,293,916</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Angiotech Pharmaceuticals, Inc., 4.06%, 12/01/13 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>260</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>218,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Valeant Pharmaceuticals International (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 10/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,575</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 10/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>60</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,025</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>327,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Professional Services &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FTI Consulting, Inc., 6.75%, 10/01/20 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Investment Trusts (REITs) &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Omega Healthcare Investors, Inc., 6.75%, 10/15/22 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,650</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="9%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc., 7.75%, 5/15/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 898,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Digicel Group Ltd. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.13%, 1/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>279</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>290,579</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 9/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>255</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>266,475</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iPCS, Inc., 2.43%, 5/01/13 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>197,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nextel Communications, Inc., Series E, 6.88%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>226,828</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,880,257</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#8212; 19.9%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,180,315</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#8212; 3.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DynCorp International, Term Loan, 6.25%, 7/07/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>798</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>804,484</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawker Beechcraft Acquisition Co., LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Linked Deposit, 0.20%, 3/26/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33,861</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.26% - 2.30%, 3/26/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>632</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>564,912</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SI Organization Co., New Tranche B Term Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 11/22/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,075</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,083,062</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Scitor Corp., Term Loan B, 5.75%, 2/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>747,187</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransDigm, Inc., Term Loan (First Lien), 5.25%, 2/14/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>905,373</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,138,879</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allison Transmission, Inc., Term Loan, 3.02%, 8/07/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>743</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>740,323</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Armored Autogroup, Inc. (FKA Viking Aquisition, Inc.),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 6.00%, 11/02/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>530</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>532,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UCI International, Inc., Term Loan, 5.50%, 7/06/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>351,204</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,624,177</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Biotechnology &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Grifols SA, Term Loan B, 6.00% 10/01/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>607,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#8212; 3.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Armstrong World Industries, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 5/17/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>758,430</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CPG International I, Inc., Term Loan B, 6.00%, 2/03/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>852,660</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goodman Global, Inc., Initial Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 10/13/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,244</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,260,858</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Momentive Performance Materials (Blitz 06-103 GmbH),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2B Term Loan, 4.36%, 5/05/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>318</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>427,218</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,299,166</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 1.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Capital Ltd., Term Loan B, 7.50%, 12/31/13</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>237</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>238,174</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HarbourVest Partners, Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 11/10/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>988</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>992,438</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nuveen Investments, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Term Loan (First Lien), 5.80% &#8211; 5.81%, 5/13/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>862</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>858,789</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non Extended Term Loan (First Lien), 3.30%, 11/13/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>588</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>570,094</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,659,495</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 6.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AZ Chem US, Inc., Term Loan B, 6.75%, 11/18/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>594</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>599,677</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chemtura Corp., Term Facility, 5.50%, 8/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>705,542</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Chemical Corp., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 9/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>998</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,012,463</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MacDermid, Inc., Tranche C Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.07%, 4/12/14</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>236</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>314,568</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nexeo Solutions LLC, Term Loan B, 5.00%, 8/31/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>601,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PQ Corp. (FKA Niagara Acquisition, Inc.), Original Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility (First Lien), 3.52% &#8211; 3.56%, 7/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>809</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>795,733</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rockwood Specialties Group, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.75%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>859,031</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia, Inc., Term Loan, 4.50%, 3/17/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>515</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>515,172</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Styron Sarl, Term Loan B, 6.00%, 7/27/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,311,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tronox Worldwide LLC, Exit Term Loan, 7.00%, 12/24/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,330</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,341,079</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Univar, Inc., Term Loan B, 5.00% 6/30/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,304,469</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,361,184</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 25</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_28"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="8%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., Tranche 3 Term Loan, 6.25%, 8/11/15 USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,650</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,670,968</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#8212; 4.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ARAMARK Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit - 1 Facility, 0.11%, 1/26/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,913</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit - 2 Facility, 0.11%, 7/26/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,758</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan, 2.18%, 1/26/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>86</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85,813</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan B, 3.55%, 7/26/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>148</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>148,387</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AWAS Finance Luxembourg Sarl, Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 6/10/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>262</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>268,528</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advanced Disposal Services, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 1/14/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>495</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>498,094</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Altegrity, Inc., (FKA US Investigations Services, Inc.)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D Term Loan, 7.75%, 2/21/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>846</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>862,665</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Casella Waste Systems, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 4/09/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>394</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>394,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>925</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>932,928</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Diversey, Inc. (FKA Johnson Diversey, Inc.), Tranche B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar Term Loan, 5.25%, 11/24/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>365</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>364,614</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Protection One, Inc., Term Loan, 6.00%, 6/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>449</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450,056</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Quad/Graphics, Inc., Term Loan, 5.50%, 4/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>299</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>297,132</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synagro Technologies, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.27%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>714</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>663,930</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Volume Services America, Inc. (Centerplate),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 10.50% &#8211; 10.75%, 8/24/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>499</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>503,528</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,486,346</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Communications Equipment &#8212; 1.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avaya, Inc., Term Loan B:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.06%, 10/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>568</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550,506</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.81%, 10/24/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>914</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>895,777</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CommScope, Inc., Term Loan B, 5.00%, 1/06/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,014,583</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,460,866</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Safway Services, LLC, First Out Tranche Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 12/18/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fairmount Minerals Ltd., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25% &#8211; 6.75%, 8/05/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>404</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>408,494</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Springleaf Financial Funding Co. (FKA AGFS</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funding Co.), Term Loan, 7.25%, 4/21/15</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,050</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,068,245</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Anchor Glass Container Corp., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 3/02/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>155</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>155,621</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Graham Packaging Co., LP, Term Loan D, 6.00%, 9/16/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>798</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>804,128</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>959,749</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#8212; 3.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Service Corp., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.26% &#8211; 3.31%, 11/14/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,725</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,616,754</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Laureate Education:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Term Loan, 3.55%, 8/17/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>805</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>787,703</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 3.55%, 8/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>117,930</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series A New Term Loan, 7.00%, 8/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,199</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,206,109</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ServiceMaster Co.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Term Loan, 2.76% &#8211; 2.81%, 7/24/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>864</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850,820</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.77%, 7/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>86</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>84,729</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,664,045</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 2.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MSCI, Inc., Term Loan B, 4.75%, 6/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>951</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>955,834</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Holdings, Inc., Term Loan E,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.25%, 2/09/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,161,197</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Whitelabel IV SA (Ontex):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 6.75%, 8/11/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>160</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>223,532</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B2, 6.75%, 8/11/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>265</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>369,917</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,710,480</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="65%"></TD>

   <TD width="5%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#8212; 3.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawaiian Telcom Communications, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 10/28/15</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 1,366</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,388,961</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Integra Telecom Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.25%, 4/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>821</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>830,725</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 Financing, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Incremental Tranche A Term Loan, 2.55%, 3/13/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,375</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,340,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 11.50%, 3/13/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>134,063</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Telepacific Corp., Term Loan B, 5.75%, 2/18/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>754,219</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,448,593</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Development Holdings LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 7/03/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,437</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,450,527</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp; Components &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CDW LLC (FKA CDW Corp.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Term Loan B, 3.51%, 7/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>467</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>466,684</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non Extended Term Loan, 4.26%, 10/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>720</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>718,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Flextronics International Ltd., Delayed Draw:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A-2, 2.51%, 10/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,611</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A-3, 2.51%, 10/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,046</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,229,741</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp., Tranche D Term Loan, 6.00%, 4/03/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>816</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>823,367</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#8212; 3.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.58%, 7/09/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,175,037</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bolthouse Farms, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50% &#8211; 5.75%, 2/11/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>526</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>529,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pilot Travel Centers LLC, Initial Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 6/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,288</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,298,468</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rite Aid Corp., Term Loan B, 6.00%, 7/09/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>229</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>229,245</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Foodservice, Inc., Term Loan B, 2.76%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>883</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>852,695</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,084,645</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#8212; 5.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advance Pierre Foods, Term Loan (Second Lien):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 9/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>928</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>934,216</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.25%, 9/29/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>512,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CII Investment, LLC (FKA Cloverhill):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 8.50%, 10/14/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>119</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>117,628</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A, 8.50%, 10/14/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>361</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>357,469</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 8.50%, 10/14/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>439</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>434,760</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Del Monte Corp., Term Loan B, 4.50%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,370,938</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Green Mountain Coffee Roasters, Inc., Term Loan B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility, 5.50%, 11/09/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>503,282</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pinnacle Foods Finance LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.76%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>149,438</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D Term Loan, 6.00%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>581</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>585,852</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solvest, Ltd. (Dole):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 5.00% &#8211; 5.50%, 3/02/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>305</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>306,998</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-1 Term Loan, 5.00% &#8211; 5.50%, 3/02/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>752</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>757,186</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,030,267</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DJO Finance LLC (FKA ReAble Therapeutics Finance LLC),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.26%, 5/20/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>352</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>349,837</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fresenius SE:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-1 Dollar Term Loan, 4.50%, 9/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>284</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>284,888</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-2 Term Loan, 4.50%, 9/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150,829</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>785,554</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 6.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.51% &#8211; 2.56%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55,916</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Term Loan, 3.76% &#8211; 3.81%, 1/25/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>311</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>311,669</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non Extended Term Loan, 2.51% &#8211; 2.56%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,093</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,083,681</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>26 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_29"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="65%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/20/16</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 602,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>805,709</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A-1 Term Loan, 1.55%, 11/16/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,132</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,125,755</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 2.55%, 11/18/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>87</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>86,338</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 3.55%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>232</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>232,345</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harden Healthcare, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Additional Term Loan, 7.75%, 3/02/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>603</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>591,185</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 8.50%, 2/22/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>360</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>352,889</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>inVentiv Health, Inc. (FKA Ventive Health, Inc.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 4.75%, 7/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,164</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,169,418</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B2, 4.75%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>301,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B2, 6.50%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150,656</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Renal Advantage Holdings, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 12/03/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>608,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vanguard Health Holding Co. II, LLC (Vanguard Health</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Systems, Inc.), Initial Term Loan, 5.00%, 1/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>909</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>914,421</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,392,107</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Health, Inc., Tranche B Dollar Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 2/26/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>993</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,001,565</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MedAssets, Inc., Term Loan B, 5.25%, 11/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>604,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,606,065</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 8.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLB Management Services, Inc. (Wembly, Inc.) Loan (Exit),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.50%, 11/05/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>428</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>429,994</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Blackstone UTP Capital LLC, Loan, 7.75%, 11/06/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>743</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>757,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boyd Gaming Corp., Term Loan A, 3.81%, 12/31/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>395,168</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dunkin' Brands, Inc., Term Loan B, 4.25%, 11/09/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,107,556</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gateway Casinos &amp; Entertainment, Ltd., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50% &#8211; 7.50%, 5/12/16</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,173</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,212,114</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrah's Operating Co., Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 3.30%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>155</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143,596</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 3.30%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,346</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,106,791</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-4, 9.50%, 10/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>385</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>407,993</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Seaworld Parks &amp; Entertainment, Inc. (FKA SW</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aquisitions Co., Inc.), Term B Loan, 4.00%, 8/17/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>411</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>412,676</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sea World, Term Loan B, 4.00%, 8/16/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,039</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,041,523</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Six Flags Theme Parks, Inc., Tranche B Term Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 5.00% &#8211; 5.50%, 6/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>895</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>905,036</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Travelport LLC (FKA Travelport, Inc.), Extended Delayed</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Draw Term Loan, 4.96%, 8/21/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>229</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>222,331</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Universal City Development Partners Ltd., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 11/16/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>571</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>576,265</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>VML US Finance LLC (FKA Venetian Macau):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Project Term Loan, 4.79%, 5/27/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>299,938</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Delayed Draw Project Loan, 4.79%, 5/25/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>298</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>298,109</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Funded Project Loan, 4.79%, 5/27/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>858</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>859,193</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,175,633</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Visant Corp. (FKA Jostens):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 12/22/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>725</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>725,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 7.00%, 12/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>599</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>603,857</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,328,857</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#8212; 4.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ceridian Corp., US Term Loan, 3.26%, 11/09/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,030</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,014,396</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>209</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>210,829</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan, 3.01%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,245</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,178,648</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.01%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,728</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,636,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.01%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>881</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>833,832</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransUnion LLC, Replacement Term Loan, 4.75%, 2/03/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,468</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,476,261</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,350,216</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="65%"></TD>

   <TD width="5%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Texas Competitive Electric Holdings Co., LLC (TXU):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.76% &#8211; 3.80%, 10/10/14</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 1,085</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 914,694</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.76% &#8211; 3.80%, 10/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>228</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>192,397</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,107,091</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#8212; 1.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp., Term Loan, 3.56%, 12/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>897</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>886,969</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tomkins Plc, Term Loan A, 4.25%, 9/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,480</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,492,188</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,379,157</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CNO Financial Group, Inc., Term Loan, 7.50%, 9/30/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,207,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Internet &amp; Catalog Retail &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FTD Group, Inc., Tranche B Term Loan, 6.75%, 8/26/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>357</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>358,172</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Leisure Equipment &amp; Products &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EB Sports Corp., Loan, 11.50%, 5/01/12</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>474</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>474,446</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navistar Financial Corp., Term Loan B, 4.55%, 12/16/12</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>398,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Marine &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Horizon Lines, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolving Loan, 3.31%, 8/08/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>246</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>228,439</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.31%, 8/08/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>134</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>127,782</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>356,221</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 20.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acosta, Inc., Term Loan, 4.75%, 2/03/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,158,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group, Inc., Tranche B Term Loan:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 10/09/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>744</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>748,097</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 10/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Atlantic Broadband Finance, LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 11/12/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>483</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>482,508</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bresnan Telecommunications Co. LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 11/30/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,375</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,383,403</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc. (Thomson Learning):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.55%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>997</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>959,770</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche 1 Incremental Term Loan, 7.50%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>482</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>484,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Charter Communications Operating, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 7.25%, 3/06/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>211</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>213,073</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 3.56%, 9/06/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,031</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,033,740</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clarke American Corp., Term Facility B, 2.80%, 6/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>571</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>544,355</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ellis Communications KDOC, LLC, Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 12/30/11</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,939</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>727,241</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FoxCo Acquisition Sub, LLC, Term Loan B, 7.50%, 7/14/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>524</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>523,036</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Getty Images, Inc., Initial Term Loan, 5.25%, 10/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,097</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,110,623</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Publishing Co., Ltd., Tranche A Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.01%, 6/12/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>730</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>693,401</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Jackson Holdings S.A. (FKA Intelsat Jackson</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Holdings, Ltd.), Tranche B Term Loan, 5.25%, 3/07/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,020,157</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interactive Data Corp., Term Loan, 4.75%, 2/08/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,361,089</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Knology, Inc., Term Loan B, 4.00%, 8/31/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>603,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lavena Holding 3 GmbH (Prosiebensat.1 Media AG),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.68%, 6/30/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>304</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>385,163</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mediacom Illinois, LLC (FKA Mediacom</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Communications, LLC), Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>718</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>722,102</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,126,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A Dollar Term Loan, 2.26%, 8/09/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33,385</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class B Dollar Term Loan, 4.01%, 5/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,018</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,022,397</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sinclair Television Group, Inc., New Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 10/29/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>614</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>620,284</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Springer Science+Business Media SA, Facility A1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 7/01/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,393,757</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunshine Acquisition Ltd. (FKA HIT Entertainment),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 5.56%, 6/01/12</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>918</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>898,401</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Broadband Holding B.V., Term U, 4.88%, 12/31/17 EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>660</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>908,255</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 27</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_30"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="8%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Univision Communications, Inc., Extended First Lien</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.52%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,134</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,103,078</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Investment Holdings Ltd., Facility B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.53%, 12/31/15</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,219,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Weather Channel, Term Loan B, 4.25%, 2/01/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,211,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yell Group Plc/Yell Finance (UK) Ltd., Facility A3,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.76%, 8/09/11</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>633</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>613,828</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,505,243</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 2.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euramax International, Inc., Domestic Term Loan:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 6/29/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>643</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>619,169</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.00%, 6/29/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>626</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>602,834</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Novelis Corp., Term Loan, 5.25%, 12/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,517,679</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,739,682</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FirstLight Power Resources, Inc. (FKA NE Energy, Inc.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 0.16%, 11/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,310</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Advance (First Lien), 2.81%, 11/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>213</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>211,943</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>216,253</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#8212; 2.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp., Tranche B-2 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.01%, 7/07/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>270</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>270,395</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hema Holding BV, Facility D, 5.91%, 1/01/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,898,131</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Neiman Marcus Group, Inc., Tranche B-2 Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 4.30%, 4/06/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>495</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>496,833</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,665,359</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 1.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EquiPower Resources Holdings, LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 1/11/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>705,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Obsidian Natural Gas Trust, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 11/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,153</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,181,772</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Turbo Beta Ltd., Dollar Facility, 14.50%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,817</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>744,987</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,632,009</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Personal Products &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NBTY, Inc., Term Loan B:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 9/20/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>656,635</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 10/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>625</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>625,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,281,635</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Axcan Intermediate Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 2/03/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>701,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan B, 6.25%, 4/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>176</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>176,598</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A, 6.00%, 10/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>348</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>347,689</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 6.25%, 4/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>106</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>107,070</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 6.50%, 2/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>61</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>61,297</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C B-3, 6.25%, 4/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>209</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>210,421</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,604,825</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Professional Services &#8212; 1.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Booz Allen Hamilton, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.00%, 8/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,413,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fifth Third Processing Solutions, LLC, Term Loan B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 5.50%, 10/21/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>705,425</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,118,725</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Investment Trusts (REITs) &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iStar Financial, Inc., Term Loan (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.76%, 6/28/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>123,281</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#8212; 2.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realogy Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term Loan B, 4.56%, 10/10/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>201</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>192,971</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 4.51%, 10/10/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,868</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 4.56%, 10/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,532</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,428,464</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 4.51%, 10/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>155</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>148,948</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,793,251</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="5%"></TD>

   <TD width="13%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Road &amp; Rail &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transtar Industries, Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 12/07/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275 </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>279,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Freescale Semiconductor, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.51%, 12/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>369</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>367,858</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Microsemi Corp., Term Loan B, 5.00%, 10/25/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>501,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>869,108</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rovi Corp., Term Loan B, 4.00%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>505,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Telcordia Technologies, Inc., Term Loan, 6.75%, 4/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>446</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>448,385</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vertafore, Inc., New Term Loan B, 5.25%, 7/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>335</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>337,512</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,290,897</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#8212; 4.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Burlington Coat Factory Warehouse Corp., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 2/18/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>426,416</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gymboree Corp., Term Loan B, 5.00%, 2/11/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>702,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J. Crew Group, Inc., Term Loan B, 5.25%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,350,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Matalan Finance Plc, Term Facility, 5.61%, 3/24/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>277</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>448,263</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michaels Stores, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 4.25%, 2/28/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>542</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>546,779</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 2.56%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>223</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>221,776</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 4.81%, 7/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>361</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>363,521</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Petco Animal Supplies, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 11/24/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,150,001</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Toys 'R' Us Delaware, Inc., Initial Loan, 6.00%, 8/17/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>766</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>771,777</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,980,633</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Philips Van Huesen Corp., US Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 5/06/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>599</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>601,526</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetroPCS Wireless, Inc., Tranche B-2 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.81%, 11/03/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>506</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>508,342</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vodafone Americas Finance 2 Inc., Initial Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 7/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,035</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,071,566</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,579,908</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Floating Rate Loan Interests &#8212; 114.5%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>156,186,713</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beneficial</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Interests (i)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi Debtor-in-Possession Holding Co. LLP, Class B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Membership Interests</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;(j)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,344,894</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intermet Liquidating Trust, Class A</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>256</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,344,897</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J.G. Wentworth LLC Preferred Equity Interests (k)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;(j)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>596,461</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Buffets, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>360</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Stanley Martin, Class B Membership Units (k)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>648,116</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>RathGibson Acquisition Corp., LLC (k)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>88</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>744,139</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Other Interests &#8212; 2.5%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,333,617</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Warrants (l)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Buffets Restaurants Holdings, Inc. (Expires 4/29/14)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>304</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Turbo Cayman Ltd. (No expiration)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>28 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_31"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="15%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Warrants (l)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bankruptcy Management Solutions, Inc. (Expires 9/29/17)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 357</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Holdings/EduMedia (Expires 3/09/17)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,970</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Warrants &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $199,079,559) &#8212; 142.3%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>194,063,218</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund, Institutional</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class, 0.15% (m)(n)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,037,317</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,037,317</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $3,037,317) &#8212; 2.2%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,037,317</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Options Purchased</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Call Options &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Strike Price USD 942.86, Expires 12/01/19,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Goldman Sachs Bank USA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Options Purchased (Cost &#8212; $12,711) &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments (Cost &#8212; $202,129,587*) &#8212; 144.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>197,100,535</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#8212; (44.5)%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(60,682,625)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets &#8212; 100.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$136,417,910</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>* The cost and unrealized appreciation (depreciation) of investments as of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2011, as computed for federal income tax purposes, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="57%"></TD>

   <TD width="42%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$200,043,870</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp; 8,254,176</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,197,511)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp; (2,943,335)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Variable rate security. Rate shown is as of report date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) When-issued security. Unsettled when-issued transactions were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="42%"></TD>

   <TD width="37%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Depreciation)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank of America &amp; Co.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 493,150</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(d) Non-income producing security.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Convertible security.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Represents a zero-coupon bond. Rate shown reflects the current yield as of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>report date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Represents a payment-in-kind security which may pay interest/dividends in</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional par/shares.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) Issuer filed for bankruptcy and/or is in default of interest payments.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(i) Other interests represent beneficial interest in liquidation trusts and other reorgani-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>zation entities and are non-income producing.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(j) Amount is less than $1,000.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(k) The investment is held by a wholly owned taxable subsidiary of the Fund.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(l) Warrants entitle the Fund to purchase a predetermined number of shares of com-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mon stock and are non-income producing. The purchase price and number of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shares are subject to adjustment under certain conditions until the expiration date,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if any.<BR></FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(m) Investments in companies considered to be an affiliate of the Fund during the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as amended, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="16%"></TD>

   <TD width="30%"></TD>

   <TD width="15%"></TD>

   <TD width="25%"></TD>

   <TD width="11%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Affiliate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31, 2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Activity</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,822,139</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,215,178</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,037,317</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,262</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(n) Represents the current yield as of report date.</FONT><BR><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For Fund compliance purposes, the Fund&#8217;s industry classifications refer to any one</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or rating group indexes, and/or as defined by Fund management.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>This definition may not apply for purposes of this report, which may combine such</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>industry sub-classifications for reporting ease.</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of February 28, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="6%"></TD>

   <TD width="14%"></TD>

   <TD width="7%"></TD>

   <TD width="16%"></TD>

   <TD width="19%"></TD>

   <TD width="15%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Settlement&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Purchased</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Sold</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Depreciation)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,685,223</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,671,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (33,011)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,394,276</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,534,500</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(99,244)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,184,625</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,250,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/27/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(54,917)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>205,380</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Royal Bank</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Scotland</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/27/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,464)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (188,636)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif><BR>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fair Value Measurements &#8212; Various inputs are used in determining the fair value of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments and derivatives. These inputs are summarized in three broad levels for</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial statement purposes which are as follows:</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#8212; price quotations in active markets/exchanges for identical assets</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and liabilities</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2 &#8212; other observable inputs (including, but not limited to: quoted prices for</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>similar assets or liabilities in markets that are active, quoted prices for identical</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or similar assets or liabilities in markets that are not active, inputs other than</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quoted prices that are observable for the assets or liabilities (such as interest</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default rates) or other market-corroborated inputs)</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 &#8212; unobservable inputs based on the best information available in the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>circumstances, to the extent observable inputs are not available (including the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund's own assumptions used in determining the fair value of investments and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>derivatives)</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodologies used for valuing securities are not necessarily an</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>indication of the risk associated with investing in those securities. For information</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>about the Fund's policy regarding valuation of investments and derivatives and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other significant accounting policies, please refer to Note 1 of the Notes to</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 29</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of February 28, 2011 in deter-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mining the fair valuation of the Fund's investments and derivatives:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="21%"></TD>

   <TD width="19%"></TD>

   <TD width="20%"></TD>

   <TD width="19%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments in</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset-Backed</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,803,522</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,603,487</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,407,009</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Stocks</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 446,403</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,281,443</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>227,711</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,955,557</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,071,329</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,108,986</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,180,315</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan Interests .</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>136,522,127</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,664,586</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>156,186,713</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests .</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,344,894</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,988,723</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,333,617</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warrants</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Short-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,037,317</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,037,317</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitments .</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30,646</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>361</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,007</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitments .</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,760)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,760)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,483,720</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$167,053,961</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$26,589,101</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$197,126,782</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="26%"></TD>

   <TD width="24%"></TD>

   <TD width="20%"></TD>

   <TD width="14%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="99%" colSpan=5 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Derivative Financial Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B></TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="26%" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="24%" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="20%" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="14%" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="15%" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="26%" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD width="24%" align=middle>&nbsp;</TD>

   <TD width="20%" align=left>&nbsp;</TD>

   <TD width="14%" align=middle>&nbsp;</TD>

   <TD width="15%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="26%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</FONT>&nbsp;</TD>

   <TD width="24%" align=middle>&nbsp;</TD>

   <TD width="20%" align=left>&nbsp;</TD>

   <TD width="14%" align=middle>&nbsp;</TD>

   <TD width="15%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" width="26%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>

   <TD width="24%" align=middle>&nbsp;</TD>

   <TD width="20%" align=left>&nbsp;</TD>

   <TD width="14%" align=middle>&nbsp;</TD>

   <TD width="15%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" width="26%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" width="24%" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212; </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="20%" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>(186,636)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="14%" align=middle>&nbsp;<FONT color=#231f20 size=1 face=Arial>&#8212;</FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="15%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>(186,636)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivative financial instruments are foreign currency exchange contracts.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts are shown at the unrealized appreciation/</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>depreciation on the instrument.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="24%"></TD>

   <TD width="11%"></TD>

   <TD width="8%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate</FONT></B>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Stocks</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan Interests</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interests</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Warrants</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitments</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2010</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 338,985</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 230,600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 904,927</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$22,878,826</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,589,042</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,118</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$25,945,501</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>66,762</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,336</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>420,178</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500,276</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,324,498)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,665</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(163,595)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,486,428)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>982,950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>373,828</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16,201)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,065,861</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(431,019)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,757)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,972,662</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,038,038</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>223,447</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,721,843</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>830,700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,814,032</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sales</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(498,750)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(376,717)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(18,200)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(18,467,896)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19,361,563)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers in</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,827,416</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,827,428</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers out</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,618,047)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,618,047)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance, as of February 28, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,603,487</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 227,711</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,108,986</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$19,664,586</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,988,723</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 361</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$26,593,861</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in the unrealized appreciation/depreciation on the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities still held on February 28, 2011 was $(41,679).</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund&#8217;s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following is a reconciliation of Level 3 derivative financial instruments for which</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>significant unobservable inputs were used in determining fair value:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="68%"></TD>

   <TD width="31%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitments</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2010</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (46,743)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41,983</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sales</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers in</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers out</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance, as of February 28, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (4,760)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Included in the related net change in unrealized appreciation/depreciation</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on the Statements of Operations. The change in the unrealized appreciation/</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>depreciation on the securities still held on February 28, 2011 was $42,183.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund&#8217;s policy is to recognize transfers in and transfers out as of the end of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the period of the event or the change in circumstances that caused the transfer.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>30 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>February 28, 2011 (Unaudited)<BR>&nbsp;</FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="18%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ARES CLO Funds (a)(b):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2005-10A, Class B, 0.69%, 9/18/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 660,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2011-16A, Class C, 2.90%, 5/17/21 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>641,095</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ballyrock CDO Ltd., Series 2006-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.66%, 8/28/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>857,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Canaras Summit CLO Ltd., Series 2007-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.78%, 6/19/21 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>640,905</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Centurion CDO 9 Ltd., Series 2005-9A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.07%, 7/17/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>620</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>510,390</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Flagship CLO, Series 2006-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.64%, 9/20/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,304</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,075,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fraser Sullivan CLO Ltd., Series 2006-2A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.70%, 12/20/20 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>441,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gannett Peak CLO Ltd., Class A2:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2006-1A, 0.66%, 10/27/20 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>830</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>714,837</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2006-1X, 0.66%, 10/27/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>484,438</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs Asset Management CLO Plc,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-1A, Class B, 0.75%, 8/01/22 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,255</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,054,827</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>KKR CLO Ltd., Series 2005-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.75%, 4/26/17 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>456,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Landmark CDO Ltd., Series 2006-8A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.66%, 10/19/20 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,075</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>935,078</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MAPS CLO Fund LLC, Series 2005-1A, Class C,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.25%, 12/21/17 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>501,688</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portola CLO Ltd., Series 2007-1X, Class B1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.76%, 11/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>765</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>707,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>T2 Income Fund CLO Ltd., Series 2007-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.90%, 7/15/19 (a)(b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>655</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>561,944</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Asset-Backed Securities &#8212; 3.6%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,244,252</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common Stocks (d)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GEO Specialty Chemicals, Inc.</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,117</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,036</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc.</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>430</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,057</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nortek, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,540</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>68,530</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electrical Equipment &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Medis Technologies Ltd.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>71,654</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,505</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd.</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>133,089</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>439,726</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd. (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>152,951</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>505,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Western Forest Products, Inc. (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>84,448</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>64,321</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,009,397</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Holdings/EduMedia</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>92,606</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>463,030</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Common Stocks &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,547,519</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Air Lines, Inc., Series B, 9.75%, 12/17/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 541</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>584,363</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi International Holdings Unsecured,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.00%, 10/06/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35,537</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Icahn Enterprises LP, 7.75%, 1/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,215</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,286,988</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,322,525</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="7%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CF Industries, Inc., 6.88%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>905</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 999,459</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GEO Specialty Chemicals, Inc. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 3/31/15 (e)(f)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>857</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>856,987</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 3/31/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>844</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>780,848</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc., Subordinate Note (Third Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 1/29/19 (e)(f)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>476</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185,485</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,822,779</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 5/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>152,906</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 5/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>403,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 5/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,815</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,836,113</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,392,519</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,249</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,283,347</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>530</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>569,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,853,097</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nortek, Inc., 11.00%, 12/01/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,547</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,647,389</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Acceptance Corp., 9.13%, 2/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>360</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>387,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>915</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>983,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,371,525</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Corp., 8.25%, 11/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,714,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>OI European Group BV, 6.88%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>205,474</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit Kappa Acquisitions (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>525</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>767,947</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 11/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>738,277</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,425,698</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 1.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ally Financial, Inc., 2.51%, 12/01/14 (b)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,554,903</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>160</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>176,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>745,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Issuer, Inc. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 10/15/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>585,102</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>395</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>395,987</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,457,892</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ITC Deltacom, Inc., 10.50%, 4/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>540</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>592,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Communications International, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 10/01/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>654,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B, 7.50%, 2/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>434</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>440,510</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,687,910</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp; Components &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CDW LLC, 8.00%, 12/15/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>537,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AmeriQual Group LLC, 9.50%, 4/01/12 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>247,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B&amp;G Foods, Inc., 7.63%, 1/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>640,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smithfield Foods, Inc., 10.00%, 7/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>363</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>428,340</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,068,840</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DJO Finance LLC, 10.88%, 11/15/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,245</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,364,831</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc., 7.25%, 9/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>485</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>523,194</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tenet Healthcare Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 5/01/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>175</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>192,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.88%, 7/01/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,360</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,547,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,262,694</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 31</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_34"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="8%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Health, Inc., 12.50%, 3/01/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,860</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,180,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Caesars Entertainment Operating Co., Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 12/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Little Traverse Bay Bands of Odawa Indians,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 8/31/20 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>473</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>390,225</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MGM Resorts International, 10.38%, 5/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>490</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>548,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>981,325</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beazer Homes USA, Inc., 12.00%, 10/15/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,395,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#8212; 2.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,125</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,220,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Holdings Corp., 10.00%, 1/15/20 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,041,352</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Intermediate Holding Co. LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 12/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,818,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NRG Energy, Inc., 7.63%, 1/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,082,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,162,877</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp., 13.50%, 12/01/15 (a)(e)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,557</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,724,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 2.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CSC Holdings, Inc., 8.50%, 4/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>420</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>470,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Checkout Holding Corp., 10.69% 11/15/15 (a)(g)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>870</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>561,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clear Channel Worldwide Holdings, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.25%, 12/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>401</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>445,110</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B, 9.25%, 12/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,604</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,784,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>615</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>661,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Germany GmbH, 8.13%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,145,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,067,235</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FMG Resources August 2006 Pty Ltd.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 11/01/15 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>840</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>871,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Novelis, Inc., 8.38%, 12/15/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>935</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,030,837</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,902,337</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp., 11.88%, 7/15/17 (e)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>445</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>514,531</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coffeyville Resources LLC, 9.00%, 4/01/15 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>299,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (a)(e)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,266</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,285,258</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verso Paper Holdings LLC, Series B, 4.05%, 8/01/14 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>340</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>338,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,623,558</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Angiotech Pharmaceuticals, Inc., 4.06%, 12/01/13 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>515</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>432,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Valeant Pharmaceuticals International (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 10/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>95</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98,325</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 10/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>124,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>654,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Professional Services &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FTI Consulting, Inc., 6.75%, 10/01/20 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>170</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>170,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Investment Trusts (REITs) &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Omega Healthcare Investors, Inc., 6.75%, 10/15/22 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>140</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>141,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc., 7.75%, 5/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,797,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Digicel Group Ltd. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.13%, 1/15/15 (e)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>278</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>289,537</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 9/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>315</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>329,175</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iPCS, Inc., 2.43%, 5/01/13 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,481,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nextel Communications, Inc., Series E, 6.88%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>277,234</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,174,946</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#8212; 20.7%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>58,040,596</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#8212; 3.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DynCorp International, Term Loan, 6.25%, 7/07/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,746</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,759,808</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawker Beechcraft Acquisition Co., LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Linked Deposit, 0.20%, 3/26/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>78</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69,322</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.26% &#8211; 2.30%, 3/26/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,337</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,195,033</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SI Organization Co., New Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 10/29,15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,925</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,939,437</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Scitor Corp., Term Loan B, 5.75%, 2/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,550</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,544,188</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransDigm, Inc., Term Loan (First Lien), 5.25%, 2/14/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,810,746</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,318,534</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Air Lines, Inc., Credit-Linked Deposit Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.11% &#8211; 2.26%, 4/30/12</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,888</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,873,344</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allison Transmission, Inc., Term Loan, 3.02%, 8/07/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,189</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,184,985</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GPX International Tire Corp., Tranche B Term Loan (d)(h):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.37%, 3/30/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>549</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.00%, 4/11/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Armored Autogroup, Inc. (FKA Viking Aquisition, Inc.),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 6.00%, 11/02/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,090</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,095,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UCI International, Inc., Term Loan, 5.50%, 7/06/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>752,579</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,033,014</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Biotechnology &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Grifols SA, Term Loan B, 6.00%, 10/01/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,214,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#8212; 3.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Armstrong World Industries, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 5/17/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,550</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,567,422</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CPG International I, Inc., Term Loan B, 6.00%, 2/03/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,805,634</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goodman Global, Inc., Initial Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 10/13/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,738</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,772,922</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Momentive Performance Materials (Blitz 06-103 GmbH),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2B Term Loan, 4.36%, 5/05/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>652</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>874,461</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PGT Industries, Inc., Tranche A-2 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 2/14/12</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,068</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,047,035</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,067,474</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 1.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Capital Ltd., Term Loan B, 7.50%, 12/31/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>456</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>459,196</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HarbourVest Partners, Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 11/10/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,975</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,984,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nuveen Investments, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.80% &#8211; 5.81%, 5/13/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,753</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,746,353</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non Extended Term Loan (First Lien), 3.30%, 11/13/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,222</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,184,902</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,375,326</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 6.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AZ Chem US, Inc., Term Loan B, 6.75%, 11/18/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,187</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,199,353</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chemtura Corp., Term Facility, 5.50%, 8/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,411,084</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Chemical Corp., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 9/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,995</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,024,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MacDermid, Inc., Tranche C Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.07%, 4/12/14</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>542</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>723,507</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nexeo Solutions LLC, Term Loan B, 5.00%, 8/31/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,203,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PQ Corp. (FKA Niagara Acquisition, Inc.), Original Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility (First Lien), 3.52% &#8211; 3.56%, 7/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,871</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,840,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rockwood Specialties Group, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.75%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,768,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia, Inc., Term Loan, 4.50%, 3/17/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,067</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,068,392</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Styron Sarl, Term Loan B, 6.00%, 7/27/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,724,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tronox Worldwide LLC, Exit Term Loan, 7.00%, 12/24/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,775</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,798,116</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Univar, Inc., Term Loan B, 5.00%, 6/30/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,709,283</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,472,029</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., Tranche 3 Term Loan, 6.25%, 8/11/15</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,291,301</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>32 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_35"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="8%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#8212; 4.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ARAMARK Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit - 1 Facility, 0.11%, 1/26/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16,310</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit - 2 Facility, 0.11%, 7/26/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,576</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan, 2.18%, 1/26/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>203</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>202,466</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan B, 3.55%, 7/26/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>358</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>358,490</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AWAS Finance Luxembourg Sarl, Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 6/10/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>523</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>537,056</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advanced Disposal Services, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 1/14/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,089</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,095,806</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Altegrity, Inc., (FKA US Investigations Services, Inc.),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D Term Loan, 7.75%, 2/21/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,741</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,776,075</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Casella Waste Systems, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 4/09/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>739</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>738,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,875</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,891,070</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Diversey, Inc. (FKA Johnson Diversey, Inc.), Tranche B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar Term Loan, 5.25%, 11/24/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>772</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>772,124</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Protection One, Inc., Term Loan, 6.00%, 6/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>864</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>866,341</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Quad/Graphics, Inc., Term Loan, 5.50%, 4/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>572</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>569,503</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synagro Technologies, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.27%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,548</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,439,580</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Volume Services America, Inc. (Centerplate),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 10.50% &#8211; 10.75%, 8/24/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>998</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,007,056</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,294,203</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Communications Equipment &#8212; 1.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avaya, Inc., Term Loan B:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.06%, 10/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,187</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,150,857</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.81%, 10/24/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,927</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,887,796</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CommScope, Inc., Term Loan B, 5.00%, 1/06/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,029,166</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,067,819</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Safway Services, LLC, First Out Tranche Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 12/18/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fairmount Minerals Ltd., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25% &#8211; 6.75%, 8/05/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>832</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>841,018</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Springleaf Financial Funding Co. (FKA AGFS Funding</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Co.), Term Loan, 7.25%, 4/21/15</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,100</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,136,490</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Anchor Glass Container Corp., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 3/02/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>305</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>306,441</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Holding Corp., Term Loan C,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.29% &#8211; 2.31%, 4/03/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>278</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>270,501</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Graham Packaging Co., LP:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 6.75%, 4/05/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>626</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>629,767</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan D, 6.00%, 9/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,097</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,105,676</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,312,385</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#8212; 3.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Service Corp., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.26% &#8211; 3.31%, 11/14/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,241</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,038,357</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Laureate Education:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Term Loan, 3.55%, 8/17/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,174</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,149,621</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 3.55%, 8/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>176</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>172,114</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series A New Term Loan, 7.00%, 8/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,454</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,467,924</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ServiceMaster Co.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Term Loan, 2.76% &#8211; 2.81%, 7/24/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,833</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,804,094</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.77%, 7/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>183</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>179,661</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,811,771</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="7%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 2.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MSCI, Inc., Term Loan B, 4.75%, 6/01/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,617</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,624,918</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Holdings, Inc., Term Loan E,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.25%, 2/09/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,422,915</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Whitelabel IV SA (Ontex):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 6.75%, 8/11/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>339</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>473,363</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B2, 6.75%, 8/11/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>561</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>783,353</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,304,549</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#8212; 2.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawaiian Telcom Communications, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 10/28/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,373,062</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Integra Telecom Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.25%, 4/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,617</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,636,277</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 Financing, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Incremental Tranche A Term Loan, 2.55%, 3/13/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,876,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 11.50%, 3/13/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>268,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Telepacific Corp., Term Loan B, 5.75%, 2/18/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,508,438</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,662,152</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Development Holdings LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 7/03/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,923</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,951,024</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp; Components &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CDW LLC (FKA CDW Corp.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Term Loan B, 3.51%, 7/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>986</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>985,656</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non Extended Term Loan, 4.26%, 10/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,490</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,486,689</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Flextronics International Ltd., Delayed Draw:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A-2, 2.51%, 10/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,932</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A-3, 2.51%, 10/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45,421</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,556,698</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp., Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 4/03/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,055</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,073,342</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#8212; 3.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.58%, 7/09/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,825</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,859,258</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bolthouse Farms, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50% &#8211; 5.75%, 2/11/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,052</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,058,399</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pilot Travel Centers LLC, Initial Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 6/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,361</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,380,524</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rite Aid Corp., Term Loan B, 6.00%, 7/09/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>473</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>473,442</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Foodservice, Inc., Term Loan B, 2.76%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,782</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,719,795</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,491,418</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#8212; 6.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advance Pierre Foods, Term Loan (Second Lien):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 9/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,965</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,978,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.25%, 9/29/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,127,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CII Investment, LLC (FKA Cloverhill):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 8.50%, 10/14/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>248</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>245,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A, 8.50%, 10/14/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>755</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>747,435</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 8.50%, 10/14/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>918</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>909,044</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Del Monte Corp., Term Loan B, 4.50%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,993,437</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Green Mountain Coffee Roasters, Inc., Term Loan B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility, 5.50%, 11/09/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,006,563</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michaels Stores, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B1, 2.56% &#8211; 2.63%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125,990</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B1, 4.81% &#8211; 4.87%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>965</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>972,608</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pinnacle Foods Finance LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.76%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>298,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D Term Loan, 6.00%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,213</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,222,032</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solvest, Ltd. (Dole):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 5.00% &#8211; 5.50%, 3/02/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>493</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>496,395</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-1 Term Loan, 5.00% &#8211; 5.50%, 3/02/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,227</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,234,687</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,359,441</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 33</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

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   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#8212; %</FONT></B>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Biomet, Inc., Dollar Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.26% &#8211; 3.30%, 3/25/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>339</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 338,773</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DJO Finance LLC (FKA ReAble Therapeutics Finance LLC),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.26%, 5/20/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>793,822</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fresenius SE:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-1 Dollar Term Loan, 4.50%, 9/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>627</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>630,002</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-2 Term Loan, 4.50%, 9/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>334</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>335,687</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,098,284</FONT>&nbsp;</TD></TR>

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   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 6.2%</FONT></B>&nbsp;</TD>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.51% &#8211; 2.56%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>115</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>113,699</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Term Loan, 3.76% &#8211; 3.81%, 1/25/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>784</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>785,336</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non Extended Term Loan, 2.51% &#8211; 2.56%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,213</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,194,807</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/22/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,305,958</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,712,131</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc.:</FONT>&nbsp;</TD>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A-1 Term Loan, 1.55%, 11/19/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,319</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,312,038</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1, Term Loan, 2.55%, 11/18/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>636</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>633,918</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2, Term Loan, 3.55%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,166</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,168,704</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harden Healthcare, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Additional Term Loan, 7.75%, 3/02/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,235</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,210,300</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 8.50%, 2/22/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>720</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>705,778</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>inVentiv Health, Inc. (FKA Ventive Health, Inc.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 4.75%, 7/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,433</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,443,781</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B2, 4.75%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>567</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>568,792</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B2, 6.50%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>283</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>284,573</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Renal Advantage Holdings, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 12/03/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,216,500</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vanguard Health Holding Co. II, LLC (Vanguard Health</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Systems, Inc.), Initial Term Loan, 5.00%, 1/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,802</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,813,846</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,470,161</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Health, Inc., Tranche B Dollar, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 2/26/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,876</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,891,229</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MedAssets, Inc., Term Loan B, 5.25%, 11/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,209,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,100,229</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 9.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLB Management Services, Inc. (Wembly, Inc.) Loan (Exit),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.50%, 11/05/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>891</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>896,266</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Blackstone UTP Capital LLC, Loan, 7.75%, 11/06/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,485</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,514,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boyd Gaming Corp., Term Loan A, 3.81%, 12/31/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>444,564</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dunkin' Brands, Inc., Term Loan B, 4.25%, 11/09/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,315,799</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gateway Casinos &amp; Entertainment, Ltd., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50% &#8211; 7.50%, 5/12/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,370</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,450,073</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrah's Operating Co., Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 3.30%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>192</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>178,472</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 3.30%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>315</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>291,825</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 3.30%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,983</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,483,570</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-4, 9.50%, 10/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>609,340</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Seaworld Parks &amp; Entertainment, Inc. (FKA SW</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acquisitions Co., Inc.), Term B Loan, 4.00%, 8/17/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,326</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,331,087</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sea World, Term Loan B, 4.00%, 8/16/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>674</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>677,162</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Six Flags Theme Parks, Inc., Tranche B Term Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 5.50%, 6/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,790</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,810,072</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Travelport LLC (FKA Travelport, Inc.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 4.96%, 8/21/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>473</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>459,163</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Delayed Draw Term Loan, 4.96%, 8/21/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>148</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143,523</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 4.96%, 8/21/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>720</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>699,661</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Universal City Development Partners Ltd., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 11/16/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,141</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,152,529</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>VML US Finance LLC (FKA Venetian Macau):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Project Term Loan, 4.79%, 5/27/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>758</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>757,833</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Delayed Draw Project Loan, 4.79%, 5/25/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>234</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>234,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Delayed Draw Project Loan, 4.79%, 5/25/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>705</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>706,283</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Funded Project Loan, 4.79%, 5/27/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,635</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,636,749</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,793,371</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="8%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Visant Corp. (FKA Jostens):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 12/20/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,475</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,475,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 7.00%, 12/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,297</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,308,356</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,783,356</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#8212; 4.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ceridian Corp., US Term Loan, 3.26%, 11/09/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,247</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,228,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>413</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>416,614</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan, 3.01%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,770</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,622,373</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.01%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,818</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,615,224</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.01%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,270</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,202,048</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransUnion LLC, Replacement Term Loan, 4.75%, 2/03/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,235</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,252,789</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,337,348</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Texas Competitive Electric Holdings Co., LLC (TXU):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.76% &#8211; 3.80%, 10/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,522</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,283,055</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.76% &#8211; 3.80%, 10/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,408</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,183,915</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,466,970</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#8212; 1.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp., Term Loan, 3.56%, 12/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,768</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,748,735</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tomkins Plc, Term Loan A, 4.25%, 9/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,960</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,984,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,733,110</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CNO Financial Group, Inc., Term Loan, 7.50%, 9/30/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,425</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,439,145</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Internet &amp; Catalog Retail &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FTD Group, Inc., Tranche B Term Loan, 6.75%, 8/26/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>536</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>537,258</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navistar Financial Corp., Term Loan B, 4.55%, 12/16/12</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>825</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>821,906</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Marine &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Horizon Lines, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolving Loan, 3.31%, 8/08/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>491</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>456,879</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.31%, 8/08/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>268</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>255,563</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>712,442</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 19.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acosta, Inc., Term Loan, 4.75%, 2/03/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,367,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group, Inc., Tranche B Term Loan:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 10/09/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,489</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,496,194</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 10/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>501,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Atlantic Broadband Finance, LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 11/12/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>965</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>965,017</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bresnan Telecommunications Co. LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 11/30/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,925</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,942,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc. (Thomson Learning):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.55%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,992</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,879,310</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche 1 Incremental Term Loan, 7.50%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>771</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>774,419</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Charter Communications Operating, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 7.25%, 3/06/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>413</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>416,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 3.56%, 9/06/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,397</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,402,595</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clarke American Corp., Term Facility B, 2.80%, 6/30/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,238</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,181,015</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FoxCo Acquisition Sub, LLC, Term Loan B, 7.50%, 7/14/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>936</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>934,699</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Getty Images, Inc., Initial Term Loan, 5.25%, 10/29/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,145</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,170,764</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Publishing Co., Ltd., Tranche A Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.01%, 6/12/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,465</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,390,952</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hanley-Wood, LLC (FSC Acquisition), Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.56% &#8211; 2.63%, 3/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,861</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Jackson Holdings S.A. (FKA Intelsat Jackson</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Holdings Ltd.), Tranche B Term Loan, 5.25%, 3/07/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,543,673</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interactive Data Corp., Term Loan, 4.75%, 2/08/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,772,588</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Knology, Inc., Term Loan B, 4.00%, 8/31/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,207,500</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>34 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



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<!--$$/page=--><A name="page_37"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lavena Holding 3 GmbH (Prosiebensat.1 Media AG):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.68%, 6/30/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>304</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 385,163</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C1, 3.93%, 6/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>304</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>385,163</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MCNA Cable Holdings LLC (OneLink Communications),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 6.97%, 3/01/13 (e)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,263</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,174,431</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mediacom Illinois, LLC (FKA Mediacom</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Communications, LLC), Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>448</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450,531</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,657,813</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A Dollar Term Loan, 2.26%, 8/09/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55,165</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class B Dollar Term Loan, 4.01%, 5/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,336</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,346,976</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sinclair Television Group, Inc., New Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 10/29/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,023</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,033,806</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Springer Science+Business Media SA, Facility A1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 7/01/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,787,514</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunshine Acquisition Ltd. (FKA HIT Entertainment),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 5.56%, 6/01/12</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,893</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,852,309</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Broadband Holding B.V., Term U, 4.88%, 12/31/17 EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,456</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,002,289</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Univision Communications, Inc., Extended First Lien</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.52%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,309</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,245,017</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Investment Holdings Ltd., Facility B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.53%, 12/31/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,194,425</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Weather Channel, Term Loan B, 4.25%, 2/01/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,523,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yell Group Plc/Yell Finance (UK) Ltd., Facility A3,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.76%, 8/09/11</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>844</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>818,437</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53,861,126</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euramax International, Inc., Domestic Term Loan:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 6/29/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>513</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>494,231</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.00%, 6/29/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>481,147</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Novelis Corp., Term Loan, 5.25%, 12/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,035,358</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,010,736</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FirstLight Power Resources, Inc. (FKA NE Energy, Inc.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 0.16%, 11/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,166</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Advance (First Lien), 2.81%, 11/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>404</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>401,626</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>409,792</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp., Tranche B-2 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.01%, 7/07/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>616</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>616,330</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hema Holding BV:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B, 2.91%, 7/06/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>406</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>555,278</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C, 3.66%, 7/05/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>406</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>555,278</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Neiman Marcus Group, Inc., Tranche B-2 Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 4.30%, 4/06/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,017</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,022,057</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,748,943</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EquiPower Resources Holdings, LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 1/11/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,460,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/30/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,354</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,412,417</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,873,292</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Georgia-Pacific LLC, Term Loan B, 2.30%, 12/23/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,128</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,128,452</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verso Paper Finance Holdings LLC, Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.55% &#8211; 7.30%, 2/01/13 (e)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,193</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,973,467</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,101,919</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Personal Products &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NBTY, Inc., Term Loan B:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 9/20/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,313,270</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 10/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,613,270</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Axcan Intermediate Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 2/03/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,467</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,470,333</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Additional Term Loan, 6.25%, 4/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>428,008</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan B, 6.25%, 4/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>338</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>339,675</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A, 6.00%, 10/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>695</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>695,174</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 6.25%, 4/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>203</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>204,027</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 6.50%, 2/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>151</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>152,379</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,289,596</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Professional Services &#8212; 1.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Booz Allen Hamilton, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.00%, 8/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,875</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,902,313</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fifth Third Processing Solutions, LLC, Term Loan B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 5.50%, 10/21/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,511,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,413,938</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Investment Trusts (REITs) &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iStar Financial, Inc., Term Loan (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.76%, 6/28/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>221,906</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#8212; 2.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mattamy Funding Partnership, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.56%, 4/11/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>407</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>388,491</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realogy Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Exit Term Loan, 3.29%, 10/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>578,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 4.56%, 10/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,710</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,476,496</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 4.51%, 10/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>287,537</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,731,149</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Road &amp; Rail &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transtar Industries, Term Loan (First Lien), 6.25%, 12/07/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>507,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Freescale Semiconductor, Inc., Extended Maturity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.51%, 12/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>651</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>854,642</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Microsemi Corp., Term Loan B, 5.00%, 10/25/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,102,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,957,392</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rovi Corp., Term Loan B, 4.00%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,010,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Telcordia Technologies, Inc., Term Loan, 6.75%, 4/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,290</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,297,508</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vertafore, Inc., New Term Loan B, 5.25%, 7/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>685</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>690,137</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,997,645</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#8212; 4.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Burlington Coat Factory Warehouse Corp., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 2/18/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>953,167</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gymboree Corp., Term Loan B, 5.00%, 2/11/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,454,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J. Crew Group, Inc., Term Loan B, 5.25%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,800,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Matalan Finance Plc, Term Facility, 5.61%, 3/24/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>462</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>747,098</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michaels Stores, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 2.56% &#8211; 2.63%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>736</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>733,446</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 4.81% &#8211; 4.88%, 7/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>495</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>498,733</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Petco Animal Supplies, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 11/24/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,375</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,375,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Toys 'R' Us Delaware, Inc., Initial Loan, 6.00%, 8/17/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,637</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,648,796</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,210,590</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Philips Van Huesen Corp., US Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 5/06/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,212</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,217,115</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetroPCS Wireless, Inc., Tranche B-2 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.81%, 11/03/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>987</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>990,475</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vodafone Americas Finance 2 Inc., Initial Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 7/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,812</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,875,241</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,865,716</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Floating Rate Loan Interests &#8212; 112.6%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>316,532,537</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 35</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_38"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="20%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beneficial</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Interests (i)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi Debtor-in-Possession Holding Co. LLP, Class B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Membership Interests</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;(j) $</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,829,275</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J.G. Wentworth LLC Preferred Equity Interests (k)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;(j)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>684,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Other Interests &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,513,325</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Warrants (l)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Holdings/EduMedia (Expires 3/09/17)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,690</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Warrants &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $387,858,960) &#8212; 138.8%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>389,878,229</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund, Institutional</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class, 0.15% (m)(n)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,358,167</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,358,167</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $2,358,167) &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,358,167</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Options Purchased</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Call Options &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Strike Price USD 942.86, Expires 12/21/19,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Goldman Sachs Bank USA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Options Purchased (Cost &#8212; $19,555) &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments (Cost &#8212; $390,236,682*) &#8212; 139.6%</FONT></B>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>392,236,396</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#8212; (39.6)%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(111,169,305)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets &#8212; 100.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$281,067,091</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>* The cost and unrealized appreciation (depreciation) of investments as of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2011, as computed for federal income tax purposes, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="57%"></TD>

   <TD width="42%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 388,985,138</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;13,197,780</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,946,522)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;&nbsp; 3,251,258</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Variable rate security. Rate shown is as of report date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) When-issued security. Unsettled when-issued transactions were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="42%"></TD>

   <TD width="37%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Depreciation)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank of America &amp; Co.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 641,095</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(d) Non-income producing security.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Represents a payment-in-kind security which may pay interest/dividends in</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional par/shares.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Convertible security.<BR></FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Represents a zero-coupon bond. Rate shown reflects the current yield as of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>report date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) Issuer filed for bankruptcy and/or is in default of interest payments.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(i) Other interests represent beneficial interest in liquidation trusts and other reorgani-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>zation entities and are non-income producing.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(j) Amount is less than $1,000.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(k) The investment is held by a wholly owned taxable subsidiary of the Fund.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(l) Warrants entitle the Fund to purchase a predetermined number of shares of com-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mon stock and are non-income producing. The purchase price and number of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shares are subject to adjustment under certain conditions until the expiration date,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if any.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(m) Investments in companies considered to be an affiliate of the Fund during the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as amended, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="16%"></TD>

   <TD width="11%"></TD>

   <TD width="19%"></TD>

   <TD width="16%"></TD>

   <TD width="22%"></TD>

   <TD width="13%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Affiliate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31, 2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Activity</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>788,199</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,569,968</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,358,167</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,884</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(n) Represents the current yield as of report date.</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif><BR>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of February 28, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="6%"></TD>

   <TD width="14%"></TD>

   <TD width="6%"></TD>

   <TD width="16%"></TD>

   <TD width="21%"></TD>

   <TD width="14%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Settlement&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Purchased</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Sold</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Depreciation)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>157,253</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>114,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/01/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (62)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,686,266</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,665,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(54,066)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,137,941</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,652,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(171,486)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>804,405</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 498,500&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,644)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD12,407,757</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,070,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/27/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(99,414)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750,000</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,028,599</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/27/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,622</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>390,223</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>285,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Royal Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Scotland</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/27/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,781)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>205,181</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/27/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,663</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (326,168)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif><BR>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For Fund compliance purposes, the Fund&#8217;s industry classifications refer to any one</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or rating group indexes, and/or as defined by Fund management.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>This definition may not apply for purposes of this report, which may combine such</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>industry sub-classifications for reporting ease.</FONT><BR><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fair Value Measurements &#8212; Various inputs are used in determining the fair value of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments and derivatives. These inputs are summarized in three broad levels for</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial statement purposes as follows:</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#8212; price quotations in active markets/exchanges for identical assets</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and liabilities</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2 &#8212; other observable inputs (including, but not limited to: quoted prices for</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>similar assets or liabilities in markets that are active, quoted prices for identical</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or similar assets or liabilities in markets that are not active, inputs other than</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quoted prices that are observable for the assets or liabilities (such as interest</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default rates) or other market-corroborated inputs)</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 &#8212; unobservable inputs based on the best information available in the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>circumstances, to the extent observable inputs are not available (including the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund's own assumptions used in determining the fair value of investments</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and derivatives)</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodologies used for valuing securities are not necessarily an</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>indication of the risk associated with investing in those securities. For information</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>about the Fund's policy regarding valuation of investments and derivatives and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other significant accounting policies, please refer to Note 1 of the Notes to</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>36 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<!--$$/page=--><A name="page_39"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of February 28, 2011 in deter-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mining the fair valuation of the Fund's investments and derivatives:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="23%"></TD>

   <TD width="17%"></TD>

   <TD width="22%"></TD>

   <TD width="17%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments in</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset-Backed</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,363,154 </FONT></TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>6,881,098</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10,244,252</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Stocks .</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 574,082</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>505,350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>468,087</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,547,519</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds.</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55,791,514</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,249,082</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>58,040,596</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan Interests</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>276,656,452</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,876,085</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>316,532,537</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,829,275</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>684,050</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,513,325</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Short-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,358,167</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,358,167</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitments</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,990</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,269</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,259</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitments</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,082)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,082)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,932,249</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$339,172,735&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$ 50,151,589&nbsp;&nbsp;&nbsp; $392,256,573</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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<TR>

   <TD width="25%"></TD>

   <TD width="22%"></TD>

   <TD width="18%"></TD>

   <TD width="13%"></TD>

   <TD width="21%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="99%" colSpan=5 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Derivative Financial Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B></TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="25%" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="22%" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="18%" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="13%" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="21%" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD width="22%" align=left>&nbsp;</TD>

   <TD width="18%" align=left>&nbsp;</TD>

   <TD width="13%" align=left>&nbsp;</TD>

   <TD width="21%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</FONT>&nbsp;</TD>

   <TD width="22%" align=left>&nbsp;</TD>

   <TD width="18%" align=left>&nbsp;</TD>

   <TD width="13%" align=left>&nbsp;</TD>

   <TD width="21%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" width="25%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>

   <TD width="22%" align=left>&nbsp;</TD>

   <TD width="18%" align=left>&nbsp;</TD>

   <TD width="13%" align=left>&nbsp;</TD>

   <TD width="21%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" width="25%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 6px" width="22%" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT></TD>

   <TD width="18%" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;&nbsp;&nbsp; </FONT>7,285</FONT>&nbsp;</TD>

   <TD width="13%" align=middle>&nbsp;<FONT color=#231f20 size=1 face=Arial>&#8212;</FONT></TD>

   <TD width="21%" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7,285</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD width="22%" align=middle>&nbsp;</TD>

   <TD width="18%" align=left>&nbsp;</TD>

   <TD width="13%" align=middle>&nbsp;</TD>

   <TD width="21%" align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</FONT>&nbsp;</TD>

   <TD width="22%" align=middle>&nbsp;</TD>

   <TD width="18%" align=left>&nbsp;</TD>

   <TD width="13%" align=middle>&nbsp;</TD>

   <TD width="21%" align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" width="25%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>

   <TD width="22%" align=middle>&nbsp;</TD>

   <TD width="18%" align=left>&nbsp;</TD>

   <TD width="13%" align=middle>&nbsp;</TD>

   <TD width="21%" align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" width="25%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 6px" width="22%" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="18%" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(333,453)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="13%" align=middle>&nbsp;<FONT color=#231f20 size=1 face=Arial>&#8212;</FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" width="21%" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(333,453)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 6px" width="22%" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212; </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="18%" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>(326,168)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="13%" align=middle>&nbsp;<FONT color=#231f20 size=1 face=Arial>&#8212;</FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="21%" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (326,168)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivative financial instruments are foreign currency exchange contracts.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts are shown at the unrealized appreciation/</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>depreciation on the instrument and options are shown at value.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="29%"></TD>

   <TD width="15%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate</FONT></B>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other</FONT></B>&nbsp;</TD>

   <TD colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;Unfunded Loan</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Stocks</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan Interests</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interests</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitments</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2010</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 472,121</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,318,391</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$39,854,006</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 684,050</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,517</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$42,335,085</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 31,427</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>64,382</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>908,601</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,004,410</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(362,035)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(362,035)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(13,827)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,034)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>443,084</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,737,303</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,248)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,160,278</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,863,498</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>423,225</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,953,831</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,240,554</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sales</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,483,046)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,483,046)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers in</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,064,078</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,064,078</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers out</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,796,653)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,796,653)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance, as of February 28, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,881,098</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 468,087</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,249,082</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$39,876,085</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 684,050</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,269</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$50,162,671</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in the unrealized appreciation/depreciation on the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities still held on February 28, 2011 was $1,866,252.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund&#8217;s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following is a reconciliation of Level 3 derivative financial instruments for which</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>significant unobservable inputs were used in determining fair value:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="68%"></TD>

   <TD width="31%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitments</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2010</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (75,622)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>64,540</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sales</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers in</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers out</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance, as of February 28, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (11,082)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Included in the related net change in unrealized appreciation/depreciation</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on the Statements of Operations. The change in the unrealized appreciation/</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>depreciation on the securities still held on February 28, 2011 was $64,540.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund&#8217;s policy is to recognize transfers in and transfers out as of the end of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the period of the event or the change in circumstances that caused the transfer.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 37</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_40"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>February 28, 2011 (Unaudited) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="6%"></TD>

   <TD width="11%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed Securities &#8212; 5.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>321 Henderson Receivables I LLC, Series 2010-3A,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A, 3.82%, 12/15/48 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,032</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,871,786</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ARES CLO Funds, Series 2005-10A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.69%, 9/18/17 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,320,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ballyrock CDO Ltd., Series 2006-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.66%, 8/28/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,286,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CSAM Funding, Series 2A, Class B1, 7.05%, 10/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>776,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Canaras Summit CLO Ltd., Series 2007-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.78%, 6/19/21 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,735</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,482,627</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital One Multi-Asset Execution Trust, Series 4-3C,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.63%, 4/19/17 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,412,159</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Carrington Mortgage Loan Trust, Series 2007-RFC1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A1, 0.31%, 12/25/36 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>454</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>426,017</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Countrywide Asset-Backed Certificates (b):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-6, Class 2A1, 0.36%, 9/25/37</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>213</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>209,203</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-10, Class 2A1, 0.31%, 6/25/47</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,396</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,305,668</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Credit Floorplan Master Owner Trust, Series</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2006-4, Class A, 0.52%, 6/15/13 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,015</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,007,294</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GSAA Trust, Series 2007-3, Class 1A2,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.43%, 3/25/47 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,505</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,809,071</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gannett Peak CLO Ltd., Class A2:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2006-1A, 0.66%, 10/27/20 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,915</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,649,294</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2006-1X, 0.66%, 10/27/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,330</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,120,525</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LCM LP, Series 8A, Class C, 3.37%, 1/14/21 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,992,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portola CLO Ltd., Series 2007-1X, Class B1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.76%, 11/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,770</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,637,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SLC Student Loan Trust, Series 2006-A, Class A4,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.42%, 1/15/19 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,920</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,865,809</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>T2 Income Fund CLO Ltd., Series 2007-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.90%, 7/15/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,515</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,299,764</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33,471,467</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest Only Asset-Backed Securities &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sterling Bank Trust, Series 2004-2, Class Note,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.08%, 3/30/30 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,236</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>852,390</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sterling Coofs Trust, Series 1, 2.36%, 4/15/29</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,152</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>888,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,741,015</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Asset-Backed Securities &#8212; 5.4%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35,212,482</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common Stocks (c)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LyondellBasell Industries NV, Class A</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,442</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>283,391</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USI United Subcontractors Common</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,116</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>128,428</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLB Worldwide Holdings, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,947</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>519,470</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euramax International</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>234</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>61,930</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bankruptcy Management Solutions, Inc.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>880</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,081</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Holdings/EduMedia</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>238,664</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,193,320</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,196,401</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Common Stocks &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,189,620</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kratos Defense &amp; Security Solutions, Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 6/01/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,578,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#8212; 1.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Air Canada, 9.25%, 8/01/15 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,140,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Airlines, Inc., 10.50%, 10/15/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,890</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,171,775</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="7%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Continental Airlines, Inc., 6.75%, 9/15/15 (a)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,387,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Air Lines, Inc., Series B, 9.75%, 12/17/16 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,302</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,406,367</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>United Air Lines, Inc., 12.75%, 7/15/12 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,455</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,743,686</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,848,953</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi International Holdings Unsecured,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.00%, 10/06/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>71,074</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beverages &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown European Holdings SA, 7.13%, 8/15/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>585</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>859,748</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Associated Materials LLC, 9.13%, 11/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,180</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,275,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Building Materials Corp. of America,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 2/15/20 (a)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,875</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,975,781</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Momentive Performance Materials, Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 1/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,445</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,600,869</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,852,525</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Capital Ltd., 7.96%, 12/31/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,675</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,715,317</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>E*Trade Financial Corp., 8/31/19 (a)(e)(f)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>249</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>384,705</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs Group LP, 5.00%, 10/01/14 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,231,885</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,330</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,311,221</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,643,128</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Pacific Corp., 9.00%, 2/01/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,080,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hexion U.S. Finance Corp., 9.00%, 11/15/20 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>875</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>930,781</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>OXEA Finance/Cy SCA, 9.50%, 7/15/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>545</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>598,138</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,609,669</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 3.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 5/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,170</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,180,237</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 5/01/17 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,990</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,049,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Regions Financial Corp. (d):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.38%, 5/15/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,590</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,707,504</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.88%, 4/26/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,355</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,361,775</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Standard Chartered Plc, 3.85%, 4/27/15 (a)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,191,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wells Fargo &amp; Co., 5.50%, 6/15/16 (d)(g)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,870</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,909,988</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,400,929</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ACCO Brands Corp., 10.63%, 3/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,425</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,610,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,524</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,565,910</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,240</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,333,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International Lease Finance Corp., 8.25%, 12/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>472</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>525,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mobile Mini, Inc., 7.88%, 12/01/20 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>540</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>West Corp. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.63%, 10/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>910</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>964,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.88%, 1/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>405</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>415,631</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,989,591</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Communications Equipment &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avaya Inc., 7.00%, 4/01/19 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>396,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Acceptance Co., 9.13%, 2/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>910</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>964,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Credit Co. LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.05%, 1/13/12 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>565</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>570,757</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.80%, 6/01/12 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,665</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,775,629</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.63%, 8/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,382,652</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hyundai Capital America, 3.75%, 4/06/16 (a)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,285</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,258,471</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,952,109</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ardagh Packaging Finance Plc, 7.38%, 10/15/17 (a)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>695</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>990,240</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 11/15/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,571,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.75%, 1/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,654,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pregis Corp., 12.38%, 10/15/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>955</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>962,163</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>38 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



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<!--$$/page=--><A name="page_41"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="60%"></TD>

   <TD width="9%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit Kappa Acquisitions (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,215</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,777,247</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 11/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,155</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,705,420</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,660,195</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 4.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ally Financial, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.30%, 2/12/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,555,562</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 9/15/20 (a)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,660</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,909,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 11/01/31</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,316,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 11/01/31</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,240</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,420,287</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank of America Corp., 4.50%, 4/01/15 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,133,575</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citigroup, Inc., 4.75%, 5/19/15 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,166,587</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan Chase &amp; Co., 3.40%, 6/24/15 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,080,808</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (a)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,610</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,779,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Issuer, Inc. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 4/15/19 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,845,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>915</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>917,288</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,135</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,137,838</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,262,720</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#8212; 2.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ITC Deltacom, Inc., 10.50%, 4/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,690</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,854,775</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 Financing, Inc., 8.75%, 2/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,120</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,082,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Communications International, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 2/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>610</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>619,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 10/01/15 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,728,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B, 7.50%, 2/15/14 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,985</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,029,775</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Corp., 8.38%, 5/01/16 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,590</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,091,812</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TW Telecom Holdings, Inc., 8.00%, 3/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>630</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>675,675</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Windstream Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.13%, 8/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>590</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>649,738</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.63%, 8/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,207,825</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Elwood Energy LLC, 8.16%, 7/05/26</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>118</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>116,839</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp; Components &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Agilent Technologies, Inc., 4.45%, 9/14/12 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,325</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,626,358</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CDW LLC, 8.00%, 12/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,180</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,268,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,894,858</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Compagnie Generale de Geophysique-Veritas:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 5/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>201,825</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 5/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>330</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>348,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Frac Tech Services LLC, 7.13%, 11/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,270</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,314,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,865,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BI-LO LLC, 9.25%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>775</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>806,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Blue Merger Sub Inc., 7.63%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,474,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smithfield Foods, Inc., 10.00%, 7/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>684</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>807,120</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,281,620</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Gas Utilities &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Florida Gas Transmission Co. LLC, 4.00%, 7/15/15 (a)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,049,066</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Targa Resources Partners LP, 6.88%, 2/01/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>690</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>683,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,732,166</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DJO Finance LLC, 10.88%, 11/15/14 (d)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,780</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,047,575</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 1.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aviv Healthcare Properties LP, 7.75%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>645</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>672,413</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc., 7.25%, 9/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,115</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,202,806</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tenet Healthcare Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 5/01/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>812</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>893,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 5/01/18 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,682</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,851,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,619,769</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Health, Inc., 12.50%, 3/01/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,041,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 2.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CityCenter Holdings LLC, 7.63%, 1/15/16 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>790</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>823,575</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Enterprise Inns Plc, 6.50%, 12/06/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,232</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,292,811</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MGM Resorts International, 10.38%, 5/15/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,135</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,271,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Punch Tavens Finance B Ltd., 4.77%, 6/30/33</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,368</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,868,032</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Spirit Issuer Plc:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.98%, 12/28/11</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,325</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,918,769</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.84%, 12/28/11 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,399,278</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tropicana Entertainment LLC, Series WI,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.63%, 12/15/14 (c)(h)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,573,703</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 1.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beazer Homes USA, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.00%, 10/15/17 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,417,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.13%, 6/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>387,188</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berkline/BenchCraft, LLC, 4.50%, 11/03/12 (c)(h)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,709,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Standard Pacific Corp. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.38%, 5/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,125</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,192,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.38%, 1/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,830</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,930,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,637,213</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 1/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,288,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.63%, 1/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>923</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>966,842</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iPayment, Inc., 9.75%, 5/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>941,688</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iPayment Investors LP, 12.75%, 7/15/14 (a)(i)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,513</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,407,203</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,604,233</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#8212; 2.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Calpine Construction Finance Co. LP,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 6/01/16 (a)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,225</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,669,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Calpine Corp., 7.50%, 2/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,360</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,390,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Holdings Corp., 10.00%, 1/15/20 (a)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,870</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,030,032</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Intermediate Holding Co. LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 12/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,720</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,839,277</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NRG Energy, Inc., 7.63%, 1/15/18 (a)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,750</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,904,688</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,833,722</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.75%, 12/01/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,200,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13.50%, 12/01/15 (i)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,870</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,501,024</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,701,774</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CNO Financial Group, Inc., 9.00%, 1/15/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,878</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,065,070</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AGY Holding Corp., 11.00%, 11/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,335,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navistar International Corp., 8.25%, 11/01/21 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,938,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synventive Molding Solutions, Sub-Series A,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.00%, 7/14/11 (i)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>853</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,266</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Titan International, Inc., 7.88%, 10/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,330</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,423,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,700,491</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 5.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCH II LLC, 13.50%, 11/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,306</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,793,189</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCO Holdings LLC, 7.88%, 4/30/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,925</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,122,438</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CMP Susquehanna Corp., 3.44%, 5/15/14 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>194</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>136,754</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.50%, 1/15/15 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,282,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Checkout Holding Corp., 11/15/15 (a)(f)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,050</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,322,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clear Channel Worldwide Holdings, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.25%, 12/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>933</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,035,630</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B, 9.25%, 12/15/17 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,732</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,264,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DISH DBS Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 10/01/13 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,558,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 2/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>213,500</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 39</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_42"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interactive Data Corp., 10.25%, 8/01/18 (a)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,460</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,755,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NAI Entertainment Holdings LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 12/15/17 (a)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,445</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,553,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC, 7.75%, 10/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,513,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ProtoStar I Ltd., 18.00%, 10/15/12 (a)(c)(h)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,454</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,541</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rainbow National Services LLC (a)(d):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.75%, 9/01/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>925</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>928,469</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.38%, 9/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,134</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,263,277</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Germany GmbH, 8.13%, 12/01/17 (a)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,826,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Secured Finance Plc, 6.50%, 1/15/18 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,095,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33,699,223</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Arch Western Finance LLC, 6.75%, 7/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>933</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>942,330</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FMG Resources August 2006 Pty Ltd.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 11/01/15 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,965</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,076,188</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New World Resources NV, 7.88%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>995</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,476,037</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Novelis, Inc., 8.75%, 12/15/20 (a)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,125</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,547,812</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,042,367</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp., 11.88%, 7/15/17 (d)(i)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,458</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,842,062</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 3.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BP Capital Markets Plc, 5.25%, 11/07/13 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,514,110</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Petroleum Co., 8.25%, 11/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>580,938</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chesapeake Energy Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 8/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,315</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,410,337</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 12/15/18 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,185</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,306,462</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coffeyville Resources LLC, 9.00%, 4/01/15 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>634</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>691,060</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Consol Energy, Inc., 8.25%, 4/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,653,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crosstex Energy LP, 8.88%, 2/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>148,838</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Denbury Resources Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 2/15/20 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>971</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,080,238</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.38%, 8/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>810</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>818,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>El Paso Corp., 7.00%, 6/15/17 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,265</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,530,501</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Transfer Equity LP, 7.50%, 10/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>335</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>363,056</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Linn Energy LLC (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.63%, 4/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,115,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 2/01/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,615</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,715,937</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Niska Gas Storage US LLC, 8.88%, 3/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,035,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Oasis Petroleum, Inc., 7.25%, 2/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>530</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>537,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Overseas Shipholding Group, Inc., 8.75%, 12/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,190</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,259,913</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Petrohawk Energy Corp., 7.25%, 8/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>690</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>714,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,475,840</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NewPage Corp., 11.38%, 12/31/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,950</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,940,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Valeant Pharmaceuticals International (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 10/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>465,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 10/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>594,406</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,060,156</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Professional Services &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FTI Consulting, Inc. (d):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 10/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>367,062</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 10/01/20 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>810</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>810,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,177,062</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Investment Trusts (REITs) &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Omega Healthcare Investors, Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 10/15/22 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>635</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>641,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realogy Corp. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.50%, 4/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,390</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,480,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.88%, 2/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,245</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,257,169</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Unique Pub Finance Co. Plc, Series M,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.40%, 3/28/24</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,750</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,498,187</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,235,706</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Road &amp; Rail &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asciano Finance Ltd., 3.13%, 9/23/15 (a)(d)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,251,729</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avis Budget Car Rental LLC, 8.25%, 1/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>397,969</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Florida East Coast Railway Corp., 8.13%, 2/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>530</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>553,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Hertz Corp. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 10/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>635</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>672,306</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 4/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,030</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,050,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.38%, 1/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,160</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,212,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,138,654</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>National Semiconductor Corp., 6.15%, 6/15/12 (d)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,166,464</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sonic Automotive, Inc., Series B, 8.63%, 8/15/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>583</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>591,745</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Tobacco &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds American, Inc., 7.63%, 6/01/16 (d)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,970,580</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Transportation Infrastructure &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aguila 3 SA, 7.88%, 1/31/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>498</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>516,675</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clearwire Communications LLC, 12.00%, 12/01/15 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>210</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>228,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 7/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>110</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,275</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 5/15/16 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,379,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Digicel Group Ltd. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.88%, 1/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>720</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>748,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.13%, 1/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,267</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,361,081</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 9/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,335</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,395,075</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nextel Communications, Inc., Series E,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>428,453</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sprint Capital Corp., 8.38%, 3/15/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>925</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>981,656</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,644,615</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#8212; 50.1%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>324,997,623</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawker Beechcraft Acquisition Co., LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Linked Deposit, 0.20%, 3/26/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>109</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>97,346</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.26% &#8211; 2.30%, 3/26/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,817</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,624,059</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransDigm, Inc., Term Loan (First Lien), 5.25%, 2/14/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,508,955</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,230,360</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allison Transmission, Inc., Term Loan, 3.02%, 8/07/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,759</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,749,025</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Global Autocare, Term Loan B, 6.00%, 11/02/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,407,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,156,025</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Automobiles &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Co.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 3.02%, 12/15/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,087</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,086,555</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 3.02%, 12/15/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>424,099</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,510,654</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beverages &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Le-Nature&#8217;s, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.50%, 3/01/11 (c)(h)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>297,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CPG International I, Inc., Term Loan B, 6.00%, 2/03/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,003,130</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goodman Global, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term Loan (First Lien), 5.75%, 10/13/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,738</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,772,922</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (Second Lien), 9.00%, 10/13/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,855,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Momentive Performance Materials (Blitz 06-103</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GmbH), Tranche B-2B Term Loan, 4.36%, 5/05/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,532</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,055,677</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>United Subcontractors, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.80%, 6/30/15 (i)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>123,268</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,810,122</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>40 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_43"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="7%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HarbourVest Partners, Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 11/10/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,716</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,729,203</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Co., LLC, Term Loan, 5.31%, 12/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>304,745</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nuveen Investments, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.80% &#8211; 5.81%, 5/13/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,137</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,132,255</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non Extended Term Loan (First Lien), 3.30%, 11/13/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>973</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>943,089</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,109,292</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 3.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AZ Chem US, Inc., Term Loan B, 6.75%, 11/18/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,286</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,299,299</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brenntag Holding GmbH &amp; Co. KG:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility 2 (Second Lien), 6.45%, 7/17/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>502,084</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility 3A (Second Lien), 7.19%, 3/21/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>115</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>160,691</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility 3B (Second Lien), 7.19%, 3/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,422</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B6A and B6B, 4.72%, 11/24/37</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>181</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250,679</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 4.72%, 11/24/37</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>233</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>323,794</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CF Industries, Inc., Term Loan B-1, 4.25%, 4/05/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>202</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>202,526</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chemtura Corp., Term Facility, 5.50%, 8/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,310,292</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Chemical Corp., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75% &#8211; 7.25%, 9/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,995</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,024,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ineos Group PLC, US Finance LLC, Senior Credit Facility</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A2, 7.00%, 12/17/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,358</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MacDermid, Inc., Tranche C Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.07%, 4/12/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>494</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>659,684</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nexeo Solutions LLC, Term Loan B, 5.00%, 8/31/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,303,792</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PQ Corp. (FKA Niagara Acquisition, Inc.), Original Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan Facility (First Lien), 3.52% &#8211; 3.56%, 7/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,590</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,547,679</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia, Inc., Term Loan, 4.50%, 3/17/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,512</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,513,231</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Styron Sarl, Term Loan B, 6.00%, 7/27/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,926,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tronox Worldwide LLC, Exit Term Loan, 7.00%, 12/24/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,470,409</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Univar, Inc., Term Loan B, 5.00% 6/30/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,809,626</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,354,591</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., Tranche 3 Term Loan, 6.25%, 8/11/15</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,900</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,924,145</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#8212; 1.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AWAS Finance Luxembourg Sarl, Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 6/10/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,222</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,254,841</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Altegrity, Inc., (FKA US Investigations Services, Inc.)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D Term Loan, 7.75%, 2/21/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,980</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,059,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Casella Waste Systems, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 4/09/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>625</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>625,475</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,454</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,466,307</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Quad/Graphics, Inc., Term Loan, 5.50%, 4/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,368</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,361,855</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synagro Technologies, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.27%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,281</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,191,349</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Volume Services America, Inc. (Centerplate),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 10.50% &#8211; 10.75%, 8/24/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,594</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,618,346</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,577,773</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Communications Equipment &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avaya, Inc., Term Loan B:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.06% 10/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,876</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,818,164</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.81%, 10/24/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,706</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,651,094</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CommScope, Inc., Term Loan B, 5.00%, 1/06/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,268,229</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,737,487</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Safway Services, LLC, First Out Tranche Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 12/18/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,750</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,750,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fairmount Minerals Ltd., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 8/05/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>927</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>937,134</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Springleaf Financial Funding Co. (FKA AGFS Funding</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Co.), Term Loan, 7.25%, 4/21/15</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,750</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,810,075</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Graham Packaging Co., LP, Term Loan D,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 9/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,496</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,507,740</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="61%"></TD>

   <TD width="9%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#8212; 1.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Service Corp., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.26% &#8211; 3.31%, 11/14/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,619</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,330,357</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Laureate Education, Series A New Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 8/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,622</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,649,356</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ServiceMaster Co.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Term Loan, 2.76% &#8211; 2.81%, 7/24/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,525</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,485,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.77%, 7/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>251</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>247,528</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,712,835</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Professional Service Industries, Inc., Term Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 3.02%, 10/31/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>423</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>359,576</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Holdings, Inc., Term Loan E,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.25%, 2/09/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,010,416</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,369,992</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawaiian Telcom Communications, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 10/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,167</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,203,847</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 Financing, Inc., Incremental Tranche A Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.55%, 3/13/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,150</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,121,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,325,097</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Development Holdings LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 7/03/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,453</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,486,602</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TPF Generation Holdings, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit Deposit (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.20%, 12/15/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>151</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150,260</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Revolving Deposit, 0.20%, 12/15/11</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47,104</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 2.30%, 12/15/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>344</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>343,225</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,027,191</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp; Components &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CDW LLC (FKA CDW Corp.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Term Loan B, 3.51%, 7/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,194</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,193,866</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non Extended Term Loan, 4.26%, 10/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,270</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,262,734</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Flextronics International Ltd., Closing Date Loan A,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.51%, 10/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,178</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,171,693</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Matinvest 2 SAS/Butterfly Wendel US, Inc.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Deutsche Connector):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B-2, 3.46%, 6/22/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>445</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>429,185</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B-2, 3.46%, 6/22/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,028</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C-2, 4.21%, 6/22/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>719</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>694,155</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C-2, 4.21%, 6/22/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>110</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>106,040</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,889,701</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp., Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 4/03/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,373</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,395,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pilot Travel Centers LLC, Initial Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 6/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,004</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,029,758</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Foodservice, Inc., Term Loan B, 2.76%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,869</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,804,006</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,833,764</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#8212; 1.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advance Pierre Foods, Term Loan (Second Lien):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 9/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,090</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,117,867</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.25%, 9/29/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,332,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Del Monte Corp., Term Loan B, 4.50%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,018,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pinnacle Foods Finance LLC, Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,198</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,207,747</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solvest, Ltd. (Dole):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 5.00% &#8211; 5.50%, 3/02/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>127</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>127,536</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-1 Term Loan, 5.00% &#8211; 5.50%, 3/02/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>310</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>311,990</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,116,390</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 3.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ardent Health Services, Inc., Term Loan, 6.50%, 9/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,326</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.51% &#8211; 2.56%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>166</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>164,347</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Term Loan, 3.76% &#8211; 3.81%, 1/25/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,161</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,163,197</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non Extended Term Loan, 2.51% &#8211; 2.56%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,219</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,192,821</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 41</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_44"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/20/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,305,958</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,014,272</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A-1 Term Loan, 1.55%, 11/16/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,361</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,348,199</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 2.55%, 11/18/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>340</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>338,867</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harden Healthcare, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Additional Term Loan, 7.75%, 3/02/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,990</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,910,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 8.50%, 2/22/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>630</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>617,556</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>inVentiv Health, Inc. (FKA Ventive Health, Inc.),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 6.50%, 7/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,279</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,293,732</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Renal Advantage Holdings, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 12/03/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,419,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vanguard Health Holding Co. II, LLC (Vanguard Health</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Systems, Inc.), Initial Term Loan, 5.00%, 1/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,423</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,432,608</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,202,333</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Health, Inc., Tranche B Dollar Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 2/26/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,606</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,627,434</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MedAssets, Inc., Term Loan B, 5.25%, 11/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,712,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,340,184</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 5.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLB Management Services, Inc. (Wembly, Inc.) Loan (Exit),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.50%, 11/05/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,508</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,516,942</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Blackstone UTP Capital LLC, Loan, 7.75%, 11/06/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,713</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,786,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dunkin&#8217; Brands, Inc., Term Loan B, 4.25%, 11/09/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,617,859</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrah&#8217;s Operating Co., Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 3.30%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>449</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>416,434</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 3.30%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>694,822</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 3.30%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,615</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,999,053</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-4, 9.50%, 10/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>963</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,019,982</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>OSI Restaurant Partners, LLC, Pre-Funded RC Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.12% &#8211; 2.56%, 6/14/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,624</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Seaworld Parks &amp; Entertainment, Inc. (FKA SW</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acquisitions Co., Inc.), Term B Loan, 4.00%, 8/17/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,788</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,796,465</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Six Flags Theme Parks, Inc., Tranche B Term Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 5.50%, 6/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,838</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,892,086</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Travelport LLC (FKA Travelport, Inc.), Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.31%, 3/27/12 (i)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,827</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,308,235</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>VML US Finance LLC (FKA Venetian Macau):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Project Term Loan, 4.79%, 5/27/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,580</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,579,581</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Delayed Draw Project Loan, 4.79%, 5/25/12</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,134</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,135,123</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Funded Project Loan, 4.79%, 5/27/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>383</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>383,320</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,178,276</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berkline/Benchcraft, LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.00%, 11/03/11 (c)(h)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,728</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Visant Corp. (FKA Jostens):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 12/22/11</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 7.00%, 12/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,397</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,408,999</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,015,727</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#8212; 2.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amadeus IT Group SA/Amadeus Verwaltungs GmbH</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(WAM Acquisition):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-3 Facility, 4.42%, 6/30/13</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>307</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>424,319</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-4 Facility, 4.42%, 6/30/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>119</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>164,196</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term C-3 Facility, 4.92%, 6/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>307</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>424,319</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term C-4 Facility, 4.92%, 6/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>118</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>162,261</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ceridian Corp., US Term Loan, 3.26%, 11/09/14</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,628</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,603,430</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>332</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>334,842</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan, 3.01%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,597</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,404,928</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.01%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,265</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,197,725</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.01%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,202</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,138,235</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransUnion LLC, Replacement Term Loan, 4.75%, 2/03/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,272</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,289,749</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Travelex Plc:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B5, 2.95%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>712</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>708,322</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C5, 3.45%, 10/31/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>712</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>708,322</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,560,648</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="6%"></TD>

   <TD width="10%" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Texas Competitive Electric Holdings Co., LLC (TXU):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.76% &#8211; 3.80%, 10/10/14</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>266</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 224,170</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.76% &#8211; 3.80%, 10/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,691</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,262,372</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,486,542</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp., Term Loan, 3.56%, 12/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,824</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,804,706</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tomkins Plc, Term Loan A, 4.25%, 9/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,368</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,387,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,192,206</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 7.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acosta, Inc., Term Loan, 4.75%, 2/03/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,511,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 10/09/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,489</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,496,194</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc. (Thomson Learning):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.55%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,995</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,919,540</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche 1 Incremental Term Loan, 7.50%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,057</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,066,562</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Charter Communications Operating, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 7.25%, 3/06/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>936</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>943,609</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 3.56%, 9/06/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,074</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,081,626</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FoxCo Acquisition Sub, LLC, Term Loan B, 7.50%, 7/14/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,830</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,826,663</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Getty Images, Inc., Initial Term Loan, 5.25%, 10/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,993</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,028,973</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HIT Entertainment, Inc., Term Loan (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.82%, 2/26/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>354,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Publishing Co., Ltd., Tranche A Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.01%, 6/12/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,241</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,077,189</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Jackson Holdings S.A. (FKA Intelsat Jackson</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Holdings, Ltd.), Tranche B Term Loan, 5.25%, 3/07/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,536,954</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interactive Data Corp., Term Loan, 4.75%, 2/08/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,419,714</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lavena Holding 3 GmbH (Prosiebensat.1 Media AG):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.68%, 6/30/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>304</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>385,163</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C1, 3.93%, 6/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>304</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>385,163</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility D, 5.05%, 12/28/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>904</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,109,023</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MCNA Cable Holdings LLC (OneLink Communications),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 6.97%, 3/01/13 (i)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,795</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,669,418</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mediacom Illinois, LLC (FKA Mediacom</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Communications, LLC), Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>988</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>993,672</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,505</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,789,378</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Springer Science+Business Media SA, Facility A1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 7/01/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,811,884</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunshine Acquisition Ltd. (FKA HIT Entertainment),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 5.56%, 6/01/12</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,987</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,944,416</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Telecommunications Management, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Multi-Draw Term Loan, 3.26%, 6/30/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>229</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>205,955</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.26%, 6/30/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>907</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>816,525</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Broadband Holding B.V., Term U,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.88%, 12/31/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,493</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,053,894</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Univision Communications, Inc., Extended First Lien</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.52%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,383</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,317,435</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Investment Holdings Ltd., Facility B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.53%, 12/31/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,219,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Weather Channel, Term Loan B, 4.25%, 2/01/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,513,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yell Group Plc/Yell Finance (UK) Ltd., Facility A3,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.76%, 8/09/11</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>758</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>734,916</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,212,116</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Novelis Corp., Term Loan, 5.25%, 12/01/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,350</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,389,483</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FirstLight Power Resources, Inc. (FKA NE Energy, Inc.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 0.16%, 11/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,963</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Advance (First Lien), 2.81%, 11/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>397,316</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mach Gen, LLC, Synthetic Letter of Credit Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 0.05%, 2/22/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63,811</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>469,090</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>42 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_45"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="7%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hema Holding BV:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B, 2.91%, 7/06/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>344</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 471,145</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C, 3.66%, 7/05/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>344</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>471,145</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility D, 5.91%, 1/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,525,101</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Neiman Marcus Group, Inc., Tranche B-2 Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 4.30%, 4/06/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>805</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>809,129</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,276,520</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/30/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,538</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,676,217</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Turbo Beta Ltd., Dollar Facility, 14.50%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,207</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,314,683</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,990,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Georgia-Pacific LLC, Term Loan B, 2.30%, 12/23/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,190</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,190,508</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verso Paper Finance Holdings LLC, Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.55% &#8211; 7.30%, 2/01/13 (i)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>664</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>597,296</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,787,804</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Personal Products &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NBTY, Inc., Term Loan B:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 9/20/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,414,291</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 10/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,295</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,295,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,709,291</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Axcan Intermediate Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 2/03/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,002,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Additional Term Loan, 6.25%, 4/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,081</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,088,771</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan B, 6.25%, 4/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>314</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>316,207</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A, 6.00%, 10/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>560</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>559,897</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 6.25%, 4/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>186</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>187,472</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 6.50%, 2/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>203</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>204,047</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,358,894</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Professional Services &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Booz Allen Hamilton, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.00%, 8/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,425</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,438,538</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fifth Third Processing Solutions, LLC, Term Loan B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 5.50%, 10/21/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,015,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,454,038</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Investment Trusts (REITs) &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iStar Financial, Inc., Term Loan (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.76%, 6/28/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>567,094</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pivotal Promontory, LLC, Term Loan (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.00%, 8/31/11 (c)(h)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realogy Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 4.56%, 10/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,294</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,913,935</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 4.51%, 10/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>386</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>370,180</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,284,115</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Freescale Semiconductor, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.51%, 12/01/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,063</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,061,019</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bankruptcy Management Solutions, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 8/20/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>719</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>330,906</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Burlington Coat Factory Warehouse Corp., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 2/18/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>602,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gymboree Corp., Term Loan B, 5.00%, 2/11/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>752,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J. Crew Group, Inc., Term Loan B, 5.25%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michaels Stores, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 4.25%, 2/28/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>282,217</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 2.56%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,870</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,863,504</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 4.81%, 7/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>463</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>466,641</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Petco Animal Supplies, Inc., Term Loan B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 11/24/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="61%"></TD>

   <TD width="8%"></TD>

   <TD width="11%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Toys &#8216;R&#8217; Us Delaware, Inc., Initial Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 8/17/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,637</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,648,795</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,365,407</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Philips Van Huesen Corp., US Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 5/06/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,336</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,342,192</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trading Companies &amp; Distributors &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beacon Sales Acquisition, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.26% &#8211; 2.30%, 9/30/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>122</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>119,481</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Digicel International Finance Ltd., US Term Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Non-Rollover), 2.81%, 3/30/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>506</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>499,382</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vodafone Americas Finance 2 Inc., Initial Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 7/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,024</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,304,640</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,804,022</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Floating Rate Loan Interests &#8212; 48.8%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>316,881,256</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Non-Agency Mortgage-Backed Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Collateralized Mortgage Obligations &#8212; 5.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Adjustable Rate Mortgage Trust, Series 2007-1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class 3A21, 5.81%, 3/25/37 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,275</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,057,331</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citicorp Mortgage Securities, Inc., Series 2006-2,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class 1A7, 5.75%, 4/25/36</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,003</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,013,654</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Countrywide Alternative Loan Trust, Series 2005-54CB,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class 3A4, 5.50%, 11/25/35</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,528</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,204,470</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Countrywide Home Loan Mortgage Pass-Through Trust:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2005-17, Class 1A6, 5.50%, 9/25/35</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,197</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,148,059</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2006-17, Class A2, 6.00%, 12/25/36</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,085</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,480,317</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-16, Class A1, 6.50%, 10/25/37</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,508</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,327,813</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-HY5, Class 3A1, 5.97%, 9/25/37 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,708</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,096,682</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GSR Mortgage Loan Trust, Series 2005-AR5,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class 2A3, 2.96%, 10/25/35 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,827</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,274,181</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Morgan Stanley Reremic Trust, Series 2010-R4,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class 4A, 0.49%, 2/26/37 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,673</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,535,525</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>WaMu Mortgage Pass-Through Certificates,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2006-AR14, Class 1A1, 5.45%, 11/25/36 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,601</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,458,617</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wells Fargo Mortgage-Backed Securities Trust,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2005-AR2, Class 2A1, 2.74%, 3/25/35 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,583</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,371,827</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,968,476</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Mortgage-Backed Securities &#8212; 7.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Banc of America Commercial Mortgage, Inc. (b):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-3, Class A2, 5.66%, 6/10/49</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,975</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,087,402</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-4, Class A4, 5.74%, 2/10/51</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,344,382</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citigroup/Deutsche Bank Commercial Mortgage Trust,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-CD4, Class A2B, 5.21%, 12/11/49</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,235</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,325,380</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse Mortgage Capital Certificates, Class A2 (b):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-C2, 5.45%, 1/15/49</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,834</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,865,222</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-C3, 5.72%, 6/15/39</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,907</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,006,288</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Stay America Trust, Series 2010-ESHA,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class C, 4.86%, 11/05/27 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,320</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,406,768</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Union Commercial Mortgage Securities, Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 1997-C2, Class G, 7.50%, 11/18/29 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,310</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,607,894</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Greenwich Capital Commercial Funding Corp.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-GG9, Class A4, 5.44%, 3/10/39</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,110</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,254,120</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan Chase Commercial Mortgage Securities Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-CB18, Class A4, 5.44%, 6/12/47</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,110</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,242,245</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-CB19, Class A4, 5.74%, 2/12/49 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,140</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,304,910</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LB-UBS Commercial Mortgage Trust, Series 2007-C6,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A4, 5.86%, 7/15/40 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,395</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,665,720</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Morgan Stanley Capital I, Series 2007-IQ15, Class A2,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.04%, 6/11/49 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,007</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,085,108</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wachovia Bank Commercial Mortgage Trust,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-C33 (b):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A2, 5.85%, 2/15/51</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,569</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,028,473</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A4, 5.90%, 2/15/51</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,030</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,192,778</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,416,690</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Non-Agency Mortgage-Backed Securities &#8212; 13.2%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85,385,166</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 43</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_46"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="61%"></TD>

   <TD width="23%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beneficial</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Interests (j)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi Debtor-in-Possession Holding Co. LLP, Class B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Membership Interests</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;(k) </FONT></TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>8,438,229</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lear Corp. Escrow</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,465,729</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J.G. Wentworth LLC Preferred Equity Interests (l)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,308,236</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Critical Care Systems International, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>762</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berkline Benchcraft Equity LLC</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Other Interests &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,774,727</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Preferred Stocks</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dana Holding Corp., 4.00% (a)(c)(e)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>984,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CMP Susquehanna Radio Holdings Corp. (a)(c)(m)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45,243</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Preferred Stocks &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>984,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Taxable Municipal Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State of California, GO:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.10%, 8/01/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 2,225</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,287,523</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Various Purpose 3, 5.25%, 4/01/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,075</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,137,393</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Various Purpose 3, Mandatory Put Bonds,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.65%, 4/01/39 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>625</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>644,456</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State of Illinois, GO, 3.32%, 1/01/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,075</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,073,122</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Taxable Municipal Bonds &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,142,494</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>U.S. Government Sponsored</FONT></B>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Agency Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest Only Collateralized Mortgage Obligations &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ginnie Mae Mortgage-Backed Securities:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2008-7, Class SA, 3.14%, 2/20/38 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,373</FONT></TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>1,887,255</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2010-162, Class WI, 4.50%, 6/16/39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,708</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,235,290</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,122,545</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Mortgage-Backed Securities &#8212; 9.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fannie Mae Mortgage-Backed Securities:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.00%, 3/15/41 (n)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,662,352</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 7/01/20 &#8211; 8/01/23 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,747</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,220,678</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Freddie Mac Mortgage-Backed Securities,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 4/01/25 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,118</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,306,689</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,189,719</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total U.S. Government Sponsored</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Agency Securities &#8212; 10.1%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,312,264</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Warrants (o)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synventive Molding Solutions (Expires 1/15/13)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CMP Susquehanna Radio Holdings Corp.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Expires 3/26/19)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,701</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Turbo Cayman Ltd. (No expiration)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="5%"></TD>

   <TD width="12%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Warrants (o)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bankruptcy Management Solutions, Inc.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Expires 9/29/17)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>435</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ &#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Holdings/EduMedia (Expires 3/09/17)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>209,988</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Warrants &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $832,071,775) &#8212; 130.9%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>849,880,382</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class, 0.16% (p)(q)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>402,771</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>402,771</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $402,771) &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>402,771</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Options Purchased</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Call Options &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco LLC, Strike Price USD 942.86,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expires 12/01/19, Broker Goldman Sachs Bank USA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Options Purchased</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $44,978) &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments (Cost &#8212; $832,519,524*) &#8212; 131.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850,283,153</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#8212; (31.0)%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(201,439,871)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets &#8212; 100.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$648,843,282</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>* The cost and unrealized appreciation (depreciation) of investments as of February 28,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011, as computed for federal income tax purposes, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="57%"></TD>

   <TD width="42%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 829,939,020</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 37,323,531</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16,979,398)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 20,344,133</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Variable rate security. Rate shown is as of report date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) Non-income producing security.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) All or a portion of security has been pledged as collateral in connection with open</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reverse repurchase agreements.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Convertible security.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Represents a zero-coupon bond. Rate shown reflects the current yield as of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>report date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Represents a step-down bond that pays an initial coupon rate for the first period</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and then a lower coupon rate for the following periods. Rate shown is as of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>report date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) Issuer filed for bankruptcy and/or is in default of interest payments.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(i) Represents a payment-in-kind security which may pay interest/dividends in</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional par/shares.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(j) Other interests represent beneficial interest in liquidation trusts and other reorgani-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>zation entities and are non-income producing.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(k) Amount is less than $1,000.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(l) The investment is held by a wholly owned taxable subsidiary of the Fund.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(m) Security is perpetual in nature and has no stated maturity date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(n) Represents or includes a to-be-announced (&#8220;TBA&#8221;) transaction. Unsettled TBA</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transactions as of report date were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="47%"></TD>

   <TD width="32%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citigroup Global Markets Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$4,338,127</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,752</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs &amp; Co.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$6,408,597</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8,128</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JP Morgan Securities, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$5,915,628</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,628</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>44 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



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<!--$$/page=--><A name="page_47"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(o) Warrants entitle the Fund to purchase a predetermined number of shares of com-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mon stock and are non-income producing. The purchase price and number of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shares are subject to adjustment under certain conditions until the expiration date,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if any.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(p) Represents the current yield as of report date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(q) Investments in companies considered to be an affiliate of the Fund during the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as amended, were as follows:</FONT></P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="16%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="26%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Affiliate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31, 2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Activity</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>402,771</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>402,771 </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>7,285</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif><BR>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For Fund compliance purposes, the Fund&#8217;s industry classifications refer to any one</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or rating group indexes, and/or as defined by Fund management.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>This definition may not apply for purposes of this report, which may combine such</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>industry sub-classifications for reporting ease.<BR></FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts sold as of February 28, 2011 were as follows:</FONT></P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="12%"></TD>

   <TD width="17%"></TD>

   <TD width="20%"></TD>

   <TD width="15%"></TD>

   <TD width="14%"></TD>

   <TD width="6%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issue</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Exchange</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5-Year U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Note</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June 2011</FONT>&nbsp;</TD>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,976,085</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;$(11,853)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10-Year U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Note</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June 2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$3,428,069 </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>(24,290)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (36,143)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="3%"></TD>

   <TD width="96%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226;</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on single-name issues &#8212; buy protection outstanding as of</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2011 were as follows:</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="18%"></TD>

   <TD width="10%"></TD>

   <TD width="35%"></TD>

   <TD width="15%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pay</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty Expiration</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>K. Hovnanian</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs 12/20/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 800</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (36,481)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Enterprises, Inc.</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank USA</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>K. Hovnanian</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs 9/20/13</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 300</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (46,762)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Enterprises, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank USA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (83,243)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of February 28, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="7%"></TD>

   <TD width="13%"></TD>

   <TD width="7%"></TD>

   <TD width="15%"></TD>

   <TD width="21%"></TD>

   <TD width="16%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Settlement&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Purchased</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Sold</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Depreciation)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>262,238</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>190,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank N.A.</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp; 3/1/2011</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12,806,032</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,168,500</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank N.A.</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/2011</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(467,556)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,199,874</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,481,500</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4/14/2011</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(82,441)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>190,000</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>262,055</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank N.A.</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/27/2011</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(53)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750,000</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,018,991</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4/27/2011</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,229</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21,785,792</FONT>&nbsp;</TD>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15,929,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank N.A.</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/27/2011</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(179,667)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>903,673</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>660,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Royal Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Scotland</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/27/2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,441)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (720,883)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reverse repurchase agreements outstanding as of February 28, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="20%"></TD>

   <TD width="13%"></TD>

   <TD width="14%"></TD>

   <TD width="12%"></TD>

   <TD width="24%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trade</FONT></B>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Maturity</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Closing</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Face</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/08/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,607,559&nbsp;</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$6,588,452</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/08/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,994,716</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,988,938</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.45%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/20/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,101,470</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,092,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/23/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,235,706</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,230,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/27/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,324,322</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,318,333</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC 0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/15/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,873,148</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,869,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif><BR>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reverse repurchase agreements outstanding as of February 28, 2011 were as follows</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(continued):</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="21%"></TD>

   <TD width="11%"></TD>

   <TD width="14%"></TD>

   <TD width="12%"></TD>

   <TD width="24%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trade</FONT></B>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Maturity</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Closing</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Face</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/18/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,041,899 </FONT></TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>4,032,893</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.50%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/18/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,355,970</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,347,877</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/18/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,560,706</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,555,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/26/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,117,984</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,113,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/26/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,159,247</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,154,831</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/26/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,993,379</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,985,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/26/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,117,985</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,113,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/26/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,957,447</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,953,312</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/27/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,394,900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,392,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/27/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,530,260</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,525,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/27/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,117,715</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,113,313</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/27/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,779,590</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,773,811</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/27/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,985,465</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,979,259</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/27/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,460,428</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,455,313</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/27/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,572,269</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,569,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/1/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,386,110</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,376,275</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/1/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,035,711</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,033,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/1/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,267,013</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,260,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/1/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,688,370</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,685,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/3/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,392,370</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,384,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/16/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,469,878</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,467,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/16/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,740,953</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,736,562</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.58%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/16/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,324,758</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,320,832</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.58%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/19/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,628,585</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,625,530</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.65%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/2/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,217,193</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,215,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.65%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/2/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,810,632</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,809,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/3/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,612,699</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,612,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.45%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/3/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,144,372</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,144,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/3/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,349,584</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,349,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/3/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>936,406</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>936,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 45</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_48"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reverse repurchase agreements outstanding as of February 28, 2011 were as follows</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(concluded):</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="21%"></TD>

   <TD width="12%"></TD>

   <TD width="13%"></TD>

   <TD width="13%"></TD>

   <TD width="22%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trade</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Maturity</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Closing</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Face</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/3/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,087,471 </FONT></TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>1,087,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.65%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/4/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,676,012</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,673,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.50%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/8/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,234,360</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,234,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/9/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>820,273</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>820,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/9/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>958,319</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>958,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BNP Paribas</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.23%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/10/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/10/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,248,700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,246,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BNP Paribas</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.23%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/10/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/10/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,774,458</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,774,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BNP Paribas</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.23%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/10/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/10/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,478,121</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,476,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.58%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/2/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,766,712</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,766,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC 0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/28/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,841,969</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,841,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$171,173,194 $170,982,256</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fair Value Measurements &#8212; Various inputs are used in determining the fair value of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments and derivatives. These inputs are summarized in three broad levels for</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial statement purposes as follows:</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#8212; price quotations in active markets/exchanges for identical assets</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and liabilities</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2 &#8212; other observable inputs (including, but not limited to: quoted prices for</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>similar assets or liabilities in markets that are active, quoted prices for identical</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or similar assets or liabilities in markets that are not active, inputs other than</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quoted prices that are observable for the assets or liabilities (such as interest</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default rates) or other market-corroborated inputs)</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 &#8212; unobservable inputs based on the best information available in the cir-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cumstances, to the extent observable inputs are not available (including the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#8217;s own assumptions used in determining the fair value of investments and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>derivatives)</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodologies used for valuing securities are not necessarily an</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>indication of the risk associated with investing in those securities. For information</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>about the Fund&#8217;s policy regarding valuation of investments and derivatives and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other significant accounting policies, please refer to Note 1 of the Notes to</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of February 28, 2011 in deter-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mining the fair valuation of the Fund&#8217;s investments and derivatives:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="21%"></TD>

   <TD width="5%"></TD>

   <TD width="14%"></TD>

   <TD width="22%"></TD>

   <TD width="16%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments in</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset-Backed</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24,338,692&nbsp;&nbsp;$ 10,873,790</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 35,212,482</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Stocks&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$283,391</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,011</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,841,218</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,189,620</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>324,887,704</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>109,919</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>324,997,623</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan Interests</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif></FONT></TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>266,331,056</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,550,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>316,881,256</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non-Agency</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mortgage-Backed</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>81,849,641</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,535,525</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85,385,166</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,438,229</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,336,498</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,774,727</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Preferred Stocks .</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>984,750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>984,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Taxable Municipal</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bonds</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,142,494</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,142,494</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Government</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sponsored</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Agency Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,312,264</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,312,264</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitments</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>130,941</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>130,941</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Short-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securites</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>402,771</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>402,771</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitments</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(18,414)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(18,414)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 686,162</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$781,480,782 $ 68,228,736</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$850,395,680</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=6 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Derivative Financial Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B></TD></TR>

<TR>

   <TD colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 15,275</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 15,275</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit contracts</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>commitments .</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(736,158)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(736,158)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (36,143)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(36,143)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(83,243)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(83,243)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (36,143)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (804,126)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (840,269)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivative financial instruments are swaps, financial futures contracts, foreign</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts and options. Swaps, financial futures contracts and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>foreign currency exchange contracts are shown at the unrealized appreciation/</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>depreciation on the instrument and options are shown at value.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>46 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_49"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="24%"></TD>

   <TD width="13%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD>

   <TD width="8%"></TD>

   <TD width="8%"></TD>

   <TD width="7%"></TD>

   <TD width="9%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Non-Agency</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate</FONT></B>&nbsp;</TD>

   <TD colSpan=3 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate&nbsp;&nbsp; Mortgage-Backed&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other</FONT></B>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Preferred</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Stocks</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan&nbsp;Interests&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interests</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Stocks</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2010</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,092,187</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,247,224</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,412,781</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$62,160,894</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$3,770,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,856,579</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 266,770</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 74,806,435</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>101,933</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,054</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750,590</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,002</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>874,579</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,383,496)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,828,131)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>218,424</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>531,525</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,448,678)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>appreciation/depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,325,168)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,652,716</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,171,200)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,601,746)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(115,883)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(204,187)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(54,160)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,819,628)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,004,838</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475,083</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,141,936</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29,621,857</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sales</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(150,309)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(28,896,523)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(148,594)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(534,318)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(744,135)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(30,473,879)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers in</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,052,519</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,052,557</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers out</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(136,754)&nbsp;&nbsp;&nbsp;&nbsp; (15,229,339)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(15,366,093)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance, as of February 28, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10,873,790</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,841,218</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 109,919</FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>50,550,200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$3,535,525</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,336,498</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 68,247,150</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on securities still</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>held at February 28, 2011 was $(10,493,713).</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund&#8217;s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following is a reconciliation of Level 3 derivative financial instruments for which</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>significant unobservable inputs were used in determining fair value:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="68%"></TD>

   <TD width="31%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitments</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2010</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (173,683)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>155,269</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sales</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers in</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers out</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance, as of February 28, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (18,414)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Included in the related net change in unrealized appreciation/depreciation</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on the Statements of Operations. The change in the unrealized appreciation/</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>depreciation on the securities still held on February 28, 2011 was $155,269.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund&#8217;s policy is to recognize transfers in and transfers out as of the end of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the period of the event or the change in circumstances that caused the transfer.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 47</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_50"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Assets and Liabilities</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="45%"></TD>

   <TD width="21%"></TD>

   <TD width="11%"></TD>

   <TD width="11%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Defined</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Limited</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Opportunity</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Duration</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Trust</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund, Inc.</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund, Inc.</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income Trust</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2011 (Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BHL)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(DVF)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(FRA)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BLW)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at value &#8212; unaffiliated</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 184,078,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 194,063,218</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 389,878,229</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 849,880,382</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at value &#8212; affiliated</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,517,571</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,037,317</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,358,167</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>402,771</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,661</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,285</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,275</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on unfunded loan commitments</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,730</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,007</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,259</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>130,941</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash pledged as collateral for financial futures contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>105,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,311</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency at value</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41,112</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,221,537</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>391,904</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments sold receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,750,444</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,607,679</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,694,462</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,279,141</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Principal paydowns receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,248,378</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>117,837</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,006,848</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,935,387</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,081,639</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,572,334</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,852,130</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,315,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitment fees receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,472</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,099</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,459</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,108</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends receivable &#8212; affiliated</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>124</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swap premiums paid</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70,640</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Prepaid expenses</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,758</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>87,589</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,819</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,137</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>518,220</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,099</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>766,266</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>194,812,902</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>205,216,998</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>411,920,527</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>875,350,969</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reverse repurchase agreements</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>170,982,256</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,000,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,000,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63,000,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>176,575</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>188,636</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>333,453</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>736,158</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on unfunded loan commitments</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,560</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,760</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,082</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,414</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on swaps</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>83,243</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank overdraft</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,563,305</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>518,350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank overdraft &#8212; foreign currency at value</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,428,322</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments purchased payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,062,291</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29,736,136</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>64,656,436</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53,449,559</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment advisory fees payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125,374</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>102,934</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>205,245</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>346,191</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest expense payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>94,250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>78,476</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>149,669</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>190,939</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deferred income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,803</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56,937</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>59,730</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220,987</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other affiliates payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>712</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>777</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,575</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,135</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer's and Directors' fees payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>346</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>366</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>752</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>168,309</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,847</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income dividends payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>112,713</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Margin variation payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,359</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Payable to custodian</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>328,833</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other accrued expenses payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>203,718</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,396</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>158,989</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>170,980</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other liabilities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,361</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,365</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,597</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total liabilities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,741,990</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>68,799,088</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>130,853,436</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>226,507,687</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 129,070,912</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 136,417,910</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 281,067,091</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 648,843,282</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets Consist of</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Paid-in capital</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,5,6</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 127,885,559</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 229,766,196</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 350,585,154</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 701,662,114</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Undistributed (distributions in excess of) net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>969,030</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(194,068)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(620,755)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,464,041</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accumulated net realized loss</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,484,251)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(87,984,988)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(70,593,658)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(76,902,528)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation/depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,700,574</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,169,230)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,696,350</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,619,655</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 129,070,912</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 136,417,910</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 281,067,091</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 648,843,282</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.32</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11.01</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 15.24</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17.58</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at cost &#8212; unaffiliated</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 178,235,192</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 199,092,270</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 387,878,515</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 832,116,753</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at cost &#8212; affiliated</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,517,571</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,037,317</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,358,167</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 402,771</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency at cost</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 40,814</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,205,143</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (1,412,732)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 385,530</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Par value per share</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 0.001</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 0.10</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 0.10</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 0.001</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares outstanding</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9,013,961</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12,387,088</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18,437,560</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 36,908,388</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares authorized</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unlimited</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200 million</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200 million</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unlimited</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>48 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Assets and Liabilities (concluded)</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="61%"></TD>

   <TD width="27%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Blackrock</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior Floating</FONT></B>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior Floating</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2011 (Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate Fund, Inc.</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate Fund II, Inc.</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Income</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at value &#8211; Master Senior Floating Rate LLC (the &#8220;Master LLC&#8221;)</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 301,935,310</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 148,736,726</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital shares sold receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>530,215</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>282,460</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Receivable from administrator</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,045</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Prepaid expenses</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>174,475</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98,455</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>302,640,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>149,179,686</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income dividends payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>769,181</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>421,709</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Contributions payable to the Master LLC</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>530,215</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>282,460</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Administration fees payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>57,342</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer's fees payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>482</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>247</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other accrued expenses payable</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>254,747</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>156,934</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total liabilities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,611,967</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>861,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 301,028,033</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 148,318,336</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets Consists of</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Paid-in capital</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 548,752,664</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 209,040,211</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Undistributed net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,952,228</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>558,664</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accumulated net realized loss allocated from the Master LLC</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(242,796,876)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(58,653,833)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation/depreciation allocated from the Master LLC</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,879,983)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,626,706)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 301,028,033</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 148,318,336</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.92</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.58</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cost &#8212; investment in the Master LLC</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 308,815,293</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 151,363,432</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares outstanding, par value $0.10 per share, 1 billion shares authorized</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,013,230</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,294,494</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 49</FONT></P>

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<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Operations</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="53%"></TD>

   <TD width="13%"></TD>

   <TD width="11%"></TD>

   <TD width="11%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Defined</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Limited</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Opportunity</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Duration</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Trust</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund, Inc.</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund, Inc.</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income Trust</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended February 28, 2011 (Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BHL)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(DVF)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(FRA)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BLW)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Income</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,825,670</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,682,727</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10,229,988</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 26,158,277</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility and other fees</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>109,002</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85,099</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185,427</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>391,493</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends &#8212; affiliated</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,102</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,262</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,884</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,532</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,936,774</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,770,088</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,418,299</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,564,302</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment advisory</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>755,278</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>619,080</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,240,213</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,180,070</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Professional</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>96,302</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>94,522</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>91,885</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>109,229</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrowing costs</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>80,448</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>72,568</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>147,255</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Custodian</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,464</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,409</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47,330</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>67,075</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Printing</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,555</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,544</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,088</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100,891</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accounting services</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,547</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,257</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,609</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,901</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfer agent</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,689</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,762</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,873</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,514</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer and Directors</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,213</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,194</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,428</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41,293</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Registration</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,356</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,264</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,951</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Miscellaneous</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,494</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,823</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,030</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,074</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses excluding interest expense</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,022,346</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>879,423</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,639,061</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,612,998</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest expense</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>162,983</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>206,389</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>376,864</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>363,549</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,185,329</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,085,812</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,015,925</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,976,547</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Less fees waived by advisor</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(819)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(861)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,260)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,854)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Less fees paid indirectly</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(444)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,184,510</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,084,951</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,014,665</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,973,249</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,752,264</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,685,137</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,403,634</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,591,053</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Realized and Unrealized Gain (Loss)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss) from:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,261,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,227,303)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,532,424</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,749,040</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(195,876)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10,913)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(48,942)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency transactions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(707,728)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(652,776)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,245,237)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,952,612)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,553,372</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,890,992)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,287,187</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,551,610</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation on:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,298,712</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,745,912</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,274,041</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,073,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>144,671</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,480</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(156,244)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency transactions</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(172,808)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(193,552)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(278,018)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>57,411</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded loan commitments</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69,913</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>72,907</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>89,282</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>286,210</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,195,817</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,646,747</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,085,305</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,405,148</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total realized and unrealized gain</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,749,189</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,755,755</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,372,492</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,956,758</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Increase in Net Assets Resulting from Operations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10,501,453</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11,440,892</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24,776,126</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 52,547,811</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Note 9 of the Notes to Financial Statements for details of short-term borrowings.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>50 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_53"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Operations (concluded)</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="75%"></TD>

   <TD width="14%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Blackrock</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior Floating</FONT></B>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior Floating</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended February 28, 2011 (Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate Fund, Inc.</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate Fund II, Inc.</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Income</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income allocated from the Master LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8,410,420</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,255,403</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends &#8212; affiliated</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,394</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,805</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility and other fees</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>218,354</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>110,746</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expenses</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,524,819)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(771,656)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,119,349</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,602,298</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Administration</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>367,055</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>297,221</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reorganization</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>138,445</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>119,260</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Registration</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>68,215</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfer agent</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>103,535</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30,032</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Printing</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,147</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,034</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tender offer</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,220</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,018</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Professional</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,507</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,008</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,545</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>205</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Miscellaneous</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,183</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,407</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>833,737</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>576,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Less fees waived by advisor</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(107,313)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>833,737</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>469,087</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,285,612</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,133,211</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Realized and Unrealized Gain (Loss) Allocated from the Master LLC</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain from investments and foreign currency transactions</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,202,323</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100,731</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation on investments, foreign currency transactions and unfunded loan commitments</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,413,168</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,255,603</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total realized and unrealized gain</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,615,491</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,356,334</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Increase in Net Assets Resulting from Operations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18,901,103</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9,489,545</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 51</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_54"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Changes in Net Assets</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="50%"></TD>

   <TD width="17%"></TD>

   <TD width="10%"></TD>

   <TD width="11%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 6px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Opportunity Credit Trust (BHL)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income Strategies Fund (DVF)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Increase (Decrease) in Net Assets:</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,752,264</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,661,944</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,685,137</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9,875,073</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,553,372</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,285,459</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,890,992)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(15,451,009)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,195,817</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,522,220</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,646,747</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,352,693</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase in net assets resulting from operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,501,453</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,469,623</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,440,892</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,776,757</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Dividends and Distributions to Shareholders From</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,567,447)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,270,058)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,712,574)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,834,087)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(666,708)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in net assets resulting from dividends and distributions to shareholders</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,567,447)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,270,058)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,712,574)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10,500,795)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Share Transactions</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reinvestment of dividends</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>75,291</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>304,894</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>552,341</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total increase in net assets</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,009,297</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,199,565</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,033,212</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,828,303</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>122,061,615</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>112,862,050</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>129,384,698</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>107,556,395</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 129,070,912</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 122,061,615</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 136,417,910</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 129,384,698</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Undistributed (distributions in excess of) net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 969,030</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 784,213</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (194,068)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (166,631)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>52 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_55"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Changes in Net Assets (continued)</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="50%"></TD>

   <TD width="17%"></TD>

   <TD width="10%"></TD>

   <TD width="11%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income Strategies Fund, Inc. (FRA)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income Trust (BLW)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Increase (Decrease) in Net Assets:</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8,403,634</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16,622,980</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 23,591,053</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 41,283,432</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,287,187</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(14,156,705)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,551,610</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,714,049)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,085,305</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41,425,444</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,405,148</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>71,507,938</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase in net assets resulting from operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,776,126</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>43,891,719</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>52,547,811</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>101,077,321</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Dividends and Distributions to Shareholders From</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,511,552)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(17,335,715)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(23,405,709)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(33,200,685)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(378,219)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in net assets resulting from dividends and distributions to shareholders</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,511,552)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(17,713,934)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(23,405,709)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(33,200,685)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Share Transactions</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reinvestment of dividends</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>423,339</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,041,829</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>320,010</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total increase in net assets</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,687,913</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,219,614</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29,462,112</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>67,876,636</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>264,379,178</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>237,159,564</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>619,381,170</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>551,504,534</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 281,067,091</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 264,379,178</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 648,843,282</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 619,381,170</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Undistributed (distributions in excess of) net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (620,755)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (512,837)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,464,041</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,278,697</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 53</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_56"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Changes in Net Assets (concluded)</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="46%"></TD>

   <TD width="21%"></TD>

   <TD width="10%"></TD>

   <TD width="11%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Senior</FONT></B>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Senior</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Fund, Inc.</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Fund II, Inc.</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Increase (Decrease) in Net Assets:</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,285,612</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14,656,941</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,133,211</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,089,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,202,323</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(17,149,880)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100,731</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,524,615)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,413,168</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35,131,654</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,255,603</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,400,162</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase in net assets resulting from operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,901,103</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,638,715</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,489,545</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,965,397</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Dividends to Shareholders From</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=right>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,384,197)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 3px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(14,620,743)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,183,862)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,072,114)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Share Transactions</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=right>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net decrease in net assets derived from capital share transactions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,623,445)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 3px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(31,545,795)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,470,211)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,757,464)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=right>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total increase (decrease) in net assets</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,893,461</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(13,527,823)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,164,528)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135,819</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>298,134,572</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>311,662,395</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150,482,864</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150,347,045</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 301,028,033</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 298,134,572</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 148,318,336</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 150,482,864</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Undistributed net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,952,228</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,050,813</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 558,664</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 609,315</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>54 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_57"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Cash Flows</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="47%"></TD>

   <TD width="18%"></TD>

   <TD width="11%"></TD>

   <TD width="11%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Limited</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Defined</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Duration</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Opportunity</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Trust</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund, Inc.</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund, Inc.</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended February 28, 2010 (Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BHL)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 6px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(DVF)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(FRA)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BLW)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash Used for Operating Activities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase in net assets resulting from operations</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10,501,453</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11,440,892</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24,776,126</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 52,547,811</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Adjustments to reconcile net increase in net assets</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>resulting from operations to net cash used for operating activities:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Increase) decrease in interest receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,096</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(59,651)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>178,794</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(756,676)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in swap receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,840</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in other assets</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>118,472</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,794</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>226,459</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>233,078</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in commitment fees receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>720</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,735</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,995</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,677</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in margin variation receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,725</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in reverse repurchase agreements receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,013,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in income receivable &#8212; affiliated</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>464</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in cash pledged as collateral for financial futures contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(35,000)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in investment advisory fees payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,713</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,079</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,249</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,235</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in interest expense and fees payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,902</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,644</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35,517</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>93,168</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in other affiliates payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>246</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>285</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,593</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,893</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in payable to custodian</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>328,833</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in other liabilities</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,217)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,547)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(23,811)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19,724)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase (decrease) in other accrued expenses payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(36,229)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(15,945)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,318</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(91,983)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in margin variation payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,359</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in swaps payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,000)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(153)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in Officer's and Directors' fees payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>57</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,176</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net periodic and termination payments of swaps</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,774)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized loss on investments</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,406,910)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,989,833)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(17,618,201)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(29,571,777)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amortization of premium and accretion of discount on investments</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(684,866)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(773,367)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,226,423)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,754,452)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Paid-in-kind income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(37,484)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(154,608)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(263,090)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(894,622)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Proceeds from sales of long-term investments</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>82,862,942</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>90,082,876</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>181,853,083</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>441,606,615</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases of long-term investments</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(88,456,030)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(96,322,096)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(190,784,862)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(488,260,438)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net purchases of short-term securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,345,374)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,215,178)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,569,968)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(402,771)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash used for operating activities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,394,509)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,983,832)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,063,335)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,125,395)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash Provided by Financing Activities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash receipts from borrowings</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>83,419,485</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,000,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>124,000,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195,041,434</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash payments on borrowings</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(73,419,485)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(54,000,000)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(114,000,000)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(147,292,332)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash dividends paid</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,584,713)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,407,680)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,088,213)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(23,079,020)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase (decrease) in custodian bank payable</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,563,305</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,946,672</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,179,743)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash provided by financing activities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,415,287</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,155,625</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,858,459</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,490,339</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash Impact from Foreign Exchange Fluctuations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash impact from foreign exchange fluctuations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>424</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,692</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(15,602)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,263</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) in cash</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,202</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,188,485</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(220,478)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375,207</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash and foreign currency at beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,910</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33,052</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220,478</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,008</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash and foreign currency at end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 41,112</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,221,537</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>394,215</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash Flow Information</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash paid during the period for interest</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 120,081</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 188,745</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 341,347</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 270,381</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Noncash Financing Activities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital shares issued in reinvestment of dividends</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 75,291</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 304,894</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 423,339</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 320,010</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 5px" colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>A Statement of Cash Flows is presented when a Fund had a significant amount of borrowing during the period, based on the average borrowing outstanding in relation to</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>average total assets.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 55</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B></P>

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   <TD width="58%"></TD>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Period</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>January 31,</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 7px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 7px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>to August 31,</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share Operating Performance</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 13.55</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.53</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.31</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.33</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.42</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.85</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.87</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.47</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.75</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.87</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.55)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.21</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.72</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.68)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.68</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions from:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.40)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.70)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.09)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.62)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.01)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.06)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total dividends and distributions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.40)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.70)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.10)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.68)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital charges with respect to issuance of shares</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.02)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.32</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 13.55</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.53</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.31</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market price, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.69</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.86</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11.03</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.66</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on net asset value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.77%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.39%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 6px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.16)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.79%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on market price</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17.57%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23.33%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 6px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.65)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11.44)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.90%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.91%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.39%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.78%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.90%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.90%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.39%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.78%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly and excluding interest expense and fees</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.63%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.65%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.94%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.48%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.40%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.11%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.52%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 129,071</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 122,062</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 112,862</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 127,695</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrowings outstanding, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 34,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 27,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 38,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average borrowings outstanding during the period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 26,259</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24,633</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 31,141</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 13,788</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>102%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage, end of period per $ 1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,796</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,086</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,180</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,317</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commencement of operations</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from initial offering price of $15.00 per share.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>56 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B></P>

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<TR>

   <TD width="38%"></TD>

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   <TD colSpan=8 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD colSpan=8 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD colSpan=8 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended August 31,</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2006</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share Operating Performance</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.47</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.74</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 13.94</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17.50</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18.70</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18.38</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.80</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.06</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.61</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.83</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.77</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.54</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.78</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.88)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3.41)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.23)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.25</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.92</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.58</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3.82)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.80)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.02</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions from:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.38)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.80)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.14)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.72)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.80)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.70)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.05)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.24)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.04)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total dividends and distributions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.38)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.85)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.38)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.76)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.80)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.70)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital charges with respect to issuance of shares</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 6px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.00)</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11.01</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.47</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.74</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 13.94</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17.50</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18.70</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market price, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11.11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.45</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.80</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.77</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17.16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18.85</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>3</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on net asset value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.93%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30.27%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(23.82)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10.17)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.00%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.99%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on market price</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.13%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29.13%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16.27)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16.08)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.19%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18.36%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.65%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.53%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.47%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.77%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.66%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.17%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.65%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.53%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.47%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.77%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.66%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.17%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and excluding interest expense</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.33%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.26%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.57%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.23%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.30%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.29%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.11%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.86%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13.63%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.40%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.63%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.57%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 136,418</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 129,385</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 107,556</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 169,707</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 212,792</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 224,156</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrowings outstanding, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 37,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 29,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 65,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 72,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 88,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average borrowings outstanding during the period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 33,514</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 25,074</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 28,247</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 64,335</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 95,465</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 86,132</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>52%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>105%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>72%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>64%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage, end of period per $1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,687</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,462</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,975</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,591</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,955</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,524</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amount is less than $(0.01) per share.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 57</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B></P>

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   <TD colSpan=8 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months&nbsp;&nbsp;&nbsp;&nbsp; </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD colSpan=8 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended&nbsp;&nbsp;&nbsp;&nbsp; </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD colSpan=8 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended August 31,</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2006</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share Operating Performance</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.36</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.93</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16.12</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18.25</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.32</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.35</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.46</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.91</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.45</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.54</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.40</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.88</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.48</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3.04)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.03)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.07)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.06)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.34</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.39</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.90)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.58)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.47</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.34</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions from:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.46)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.94)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.29)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.55)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.54)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.37)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.02)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total dividends and distributions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.46)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.96)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.29)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.55)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.54)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.37)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 15.24</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.36</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.93</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16.12</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18.25</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.32</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market price, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 15.38</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.61</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.26</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.49</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16.70</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17.49</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on net asset value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.47%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18.91%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8.88)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.56)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.74%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.92%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on market price</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.59%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27.59%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3.88)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.28)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.85%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.91%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.49%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.45%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.96%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.61%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.33%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.54%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.49%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.45%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.96%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.60%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.33%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.54%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly and excluding</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest expense and fees</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.21%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.22%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.31%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.18%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.20%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.14%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.21%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.43%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.18%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.49%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.88%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.30%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 281,067</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 264,379</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 237,160</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 295,005</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 334,065</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 353,713</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrowings outstanding, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 63,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 53,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 38,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 101,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 107,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 135,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average borrowings outstanding during the period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 60,536</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 48,258</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 50,591</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 102,272</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 133,763</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 101,916</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>96%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>58%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>57%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage, end of period per $1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,461</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,988</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,241</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,906</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,122</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,616</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>58 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B></P>

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   <TD align=middle><STRONG><FONT color=#231f20 size=1 face=Arial>Six Months</FONT></STRONG>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=middle><STRONG><FONT color=#231f20 size=1 face=Arial>Period</FONT></STRONG>&nbsp;&nbsp;</TD>

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   <TD align=middle>&nbsp;</TD>

   <TD align=middle><STRONG><FONT color=#231f20 size=1 face=Arial>Ended</FONT></STRONG>&nbsp;&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><STRONG><FONT color=#231f20 size=1 face=Arial>November 1,</FONT></STRONG></TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;<STRONG><FONT color=#231f20 size=1 face=Arial>February 28,</FONT></STRONG></TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended August 31,</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;<STRONG><FONT color=#231f20 size=1 face=Arial>2007 to</FONT></STRONG>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended October 31,</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2006</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2005</FONT></B>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share Operating Performance</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16.79</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.95</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16.71</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18.52</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.01</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 20.13</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.64</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.12</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.01</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.14</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.35</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.46</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.69</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.62</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.61)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.76)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.49)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.03</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.94)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.33</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.74</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.60)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.62)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.01</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.38</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.52</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions from:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.54)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.90)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.16)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.19)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.41)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.52)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.33)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.06)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.15)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.03)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.02)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total dividends and distributions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.54)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.90)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.16)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.19)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.50)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.54)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.48)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17.58</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16.79</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.95</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16.71</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18.52</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.01</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.17</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market price, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17.00</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16.76</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.09</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.57</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16.68</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18.85</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17.48</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on net asset value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.73%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.00%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.57)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.60)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.66%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.85%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.93%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on market price</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.33%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26.04%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.40%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5.70)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.03)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17.31%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5.30)%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.94%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.82%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.72%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.39%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.16%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.20%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.71%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and before fees paid indirectly</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.94%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.81%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.71%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.39%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.16%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.20%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.71%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.94%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.81%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.71%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.38%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.14%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.19%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.71%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly and</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>excluding interest expense</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.83%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.73%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.69%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.76%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.83%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.91%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.92%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.48%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.90%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.42%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.84%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.92%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.10%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.42%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 648,843</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 619,381</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 551,505</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 616,393</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 638,109</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 699,206</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 704,961</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrowings outstanding, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 170,982</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 123,233</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 64,538</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 109,287</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 220,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 176,010</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average borrowings outstanding during the period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 163,186</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 44,160</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11,705</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 120,295</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 172,040</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 179,366</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 186,660</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>248%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>287%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>191%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>132%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage, end of period per $1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,795</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,026</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10,551</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,251</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,178</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,005</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 48%.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 113%.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 79%.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 24%.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 59</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund, Inc.</FONT></B></P>

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   <TD width="8%"></TD></TR>

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   <TD colSpan=8 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD colSpan=8 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD colSpan=8 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended August 31,</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2006</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share Operating Performance</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.59</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.98</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.60</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.92</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.01</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.36</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.51</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.52</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.33</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.43</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.83)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.62)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.32)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.08)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.50</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.79</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.44)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.11)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.28</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.44</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends from net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.17)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.36)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.38)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.51)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.60)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.53)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.92</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.59</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.98</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.60</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.92</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on net asset value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.61%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.20%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.69)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.32)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.07%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.97%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>5</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.61%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.53%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.53%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.28%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.44%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.43%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.28%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.82%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.97%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.16%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.67%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.84%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 301,028</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 298,135</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 311,662</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 399,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 505,515</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 601,807</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover for the Master LLC</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>108%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Where applicable, total investment returns exclude the early withdrawal charge, but do include the reinvestment of dividends and distributions. The Fund is a continuously offered</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closed-end fund, the shares of which are offered at net asset value. No secondary market for the Fund&#8217;s shares exists.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the year ended August 31, 2008, the Fund recorded a refund related to overpayments of prior years&#8217; tender offer fees, which increased net investment income per</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>share $0.02 and increased total investment return 0.24%. The expense ratio excluding the refund was 1.46%.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes the Fund&#8217;s share of the Master LLC&#8217;s allocated expenses and/or net investment income.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>60 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund II, Inc.</FONT></B></P>

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<TR>

   <TD width="37%"></TD>

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   <TD width="8%"></TD></TR>

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   <TD colSpan=8 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD colSpan=8 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD colSpan=8 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended August 31,</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2006</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share Operating Performance</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.22</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.76</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.67</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.35</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.70</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.79</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.41</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.54</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.63</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.56</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.36</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.46</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.89)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.69)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.34)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.10)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.54</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.84</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.48)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.15)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.29</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.46</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends from net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.18)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.38)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.43)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.53)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.64)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.55)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.58</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.22</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.76</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.67</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.35</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.70</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on net asset value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.61%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.97%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.70)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.61)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.89%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.90%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>5</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.81%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.67%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.68%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.59%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.57%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.67%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.67%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.68%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.59%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.57%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.22%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.68%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.79%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.96%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.53%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.70%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 148,318</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 150,483</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 150,347</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 186,637</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 247,861</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 322,202</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover for the Master LLC</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>108%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Where applicable, total investment returns exclude the early withdrawal charge, but do include the reinvestment of dividends and distributions. The Fund is a continuously offered</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closed-end fund, the shares of which are offered at net asset value. No secondary market for the Fund&#8217;s shares exists.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the year ended August 31, 2008, the Fund recorded a refund related to overpayments of prior years&#8217; tender offer fees, which increased net investment income per</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>share $0.02 and increased total investment return 0.11%. The expense ratio excluding the refund was 1.64%.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes the Fund&#8217;s share of the Master LLC&#8217;s allocated expenses and/or net investment income.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 61</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Unaudited)</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>1. Organization and Significant Accounting Policies:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (&#8220;BHL&#8221;), BlackRock Diversified</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income Strategies Fund, Inc. (&#8220;DVF&#8221;), BlackRock Floating Rate Income</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Strategies Fund, Inc. (&#8220;FRA&#8221;), BlackRock Limited Duration Income Trust</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(&#8220;BLW&#8221;), BlackRock Senior Floating Rate Fund, Inc. (&#8220;Senior Floating Rate&#8221;)</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and BlackRock Senior Floating Rate Fund II, Inc. (&#8220;Senior Floating Rate II&#8221;)</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(collectively, the &#8220;Funds&#8221; or individually as a &#8220;Fund&#8221;) are registered under</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Investment Company Act of 1940, as amended (the &#8220;1940 Act&#8221;). BHL</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and BLW are organized as Delaware Statutory trusts. DVF, FRA, Senior</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate and Senior Floating Rate II are organized as Maryland corp-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>orations. BHL, DVF, FRA and BLW are registered as diversified, closed-end</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>management investment companies. Senior Floating Rate and Senior</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate II are registered as continuously offered, non-diversified,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closed-end management investment companies. The Funds&#8217; financial state-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments are prepared in conformity with accounting principles generally</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accepted in the United States of America (&#8220;US GAAP&#8221;), which may require</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>management to make estimates and assumptions that affect the reported</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amounts and disclosures in the financial statements. Actual results could</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>differ from those estimates. Each Fund&#8217;s Board of Directors/Trustees are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>collectively referred to throughout this report as the &#8220;Board of Directors&#8221; or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the &#8220;Board&#8221;. The Funds determine and make available for publication the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>net asset values of their Common Shares on a daily basis.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate and Senior Floating Rate II seek to achieve their</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment objectives by investing all their assets in the Master Senior</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate LLC (the &#8220;Master LLC&#8221;), which has the same investment</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>objective and strategies as these Funds. The value of each Fund&#8217;s invest-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment in the Master LLC reflects each Fund&#8217;s proportionate interest in the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>net assets of the Master LLC. The performance of each Fund is directly</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>affected by the performance of the Master LLC. The financial statements of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC, including the Schedule of Investments, are included else-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>where in this report and should be read in conjunction with Senior Floating</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rate and Senior Floating Rate II&#8217;s financial statements. The percentage of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC owned by Senior Floating Rate and Senior Floating Rate II</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>at February 28, 2011 was 67% and 33%, respectively.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Reorganizations: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>On September 2, 2010, the Board of each of Senior</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate and Senior Floating Rate II (the &#8220;Senior Floating Rate Funds&#8221;)</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and on September 17, 2010 the Board of Trustees of BlackRock Funds II</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>approved the reorganization of each Senior Floating Rate Fund into the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Portfolio, a series of BlackRock Funds II</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(&#8220;Floating Rate Income Portfolio&#8221;), with the BlackRock Floating Rate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income Portfolio being the legal surviving fund (the &#8220;Reorganizations&#8221;).</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Reorganizations were effective on March 21, 2011, see Note 10 for</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>more details.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following is a summary of significant accounting policies followed by</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Funds:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Valuation: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US GAAP defines fair value as the price the Funds would receive</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to sell an asset or pay to transfer a liability in an orderly transaction<BR></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between market participants at the measurement date. The Funds fair value</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>their financial instruments at market value using independent dealers or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pricing services under policies approved by the Board. The Funds value</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>their bond investments on the basis of last available bid prices or current</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market quotations provided by dealers or pricing services. Floating rate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan interests are valued at the mean of the bid prices from one or more</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>brokers or dealers as obtained from a pricing service. In determining the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value of a particular investment, pricing services may use certain informa-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion with respect to transactions in such investments, quotations from</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>dealers, pricing matrixes, market transactions in comparable investments,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>various relationships observed in the market between investments and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>calculated yield measures. Asset-backed and mortgage-backed securities</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are valued by independent pricing services using models that consider esti-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mated cash flows of each tranche of the security, establish a benchmark</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>yield and develop an estimated tranche specific spread to the benchmark</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>yield based on the unique attributes of the tranche. Financial futures</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts traded on exchanges are valued at their last sale price. To-be-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>announced (&#8220;TBA&#8221;) commitments are valued on the basis of last available</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>bid prices or current market quotations provided by pricing services. Swap</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreements are valued utilizing quotes received daily by the Funds&#8217; pricing</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>service or through brokers, which are derived using daily swap curves and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>models that incorporate a number of market data factors, such as dis-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counted cash flows and trades and values of the underlying reference</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instruments. Investments in open-end registered investment companies</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are valued at net asset value each business day. Short-term securities</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with remaining maturities of 60 days or less may be valued at amortized</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cost, which approximates fair value.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Equity investments traded on a recognized securities exchange or the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NASDAQ Global Market System (&#8220;NASDAQ&#8221;) are valued at the last reported</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sale price that day or the NASDAQ official closing price, if applicable. For</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>equity investments traded on more than one exchange, the last reported</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sale price on the exchange where the stock is primarily traded is used.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Equity investments traded on a recognized exchange for which there were</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>no sales on that day are valued at the last available bid price. If no bid</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>price is available, the prior day&#8217;s price will be used, unless it is determined</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that such prior day&#8217;s price no longer reflects the fair value of the security.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities and other assets and liabilities denominated in foreign curren-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cies are translated into US dollars using exchange rates determined as of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the close of business on the New York Stock Exchange (&#8220;NYSE&#8221;). Foreign</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts are valued at the mean between the bid and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ask prices and are determined as of the close of business on the NYSE.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interpolated values are derived when the settlement date of the contract is</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>an interim date for which quotations are not available.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Exchange-traded options are valued at the mean between the last bid and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ask prices at the close of the options market in which the options trade. An</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange-traded option for which there is no mean price is valued at the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>last bid price. If no bid price is available, the prior day&#8217;s price will be used,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unless it is determined that the prior day&#8217;s price no longer reflects the fair</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>62 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value of the option. Over-the-counter (&#8220;OTC&#8221;) options are valued by an</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>independent pricing service using a mathematical model which incorpo-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates a number of market data factors, such as the trades and prices of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the underlying instruments.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In the event that application of these methods of valuation results in a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>price for an investment which is deemed not to be representative of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market value of such investment or is not available, the investment will</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be valued in accordance with a policy approved by the Board as reflecting</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fair value (&#8220;Fair Value Assets&#8221;). When determining the price for Fair Value</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets, the investment advisor and/or the sub-advisor seeks to determine</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the price that each Fund might reasonably expect to receive from the cur-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rent sale of that asset in an arm&#8217;s-length transaction. Fair value determina-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions shall be based upon all available factors that the investment advisor</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>subsequently reported to the Board or a committee thereof.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Generally, trading in foreign instruments is substantially completed</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each day at various times prior to the close of business on the NYSE.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Occasionally, events affecting the values of such instruments may occur</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between the foreign market close and the close of business on the NYSE</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that may not be reflected in the computation of each Fund&#8217;s net assets.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>If events (for example, a company announcement, market volatility or a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>natural disaster) occur during such periods that are expected to materially</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>affect the value of such instruments, those instruments may be Fair Value</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets and be valued at their fair value, as determined in good faith by</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the investment advisor using a pricing service and/or policies approved</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the Board.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate and Senior Floating Rate II record their investments in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC at fair value based on each Fund&#8217;s proportionate interest in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the net assets of the Master LLC. Valuation of securities held by the Master</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC, including categorization of fair value measurements, is discussed in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Note 1 of the Master LLC&#8217;s Notes to Financial Statements, which are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>included elsewhere in this report.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Foreign Currency Transactions: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds&#8217; books and records are main-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tained in US dollars. Purchases and sales of investment securities are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recorded at the rates of exchange prevailing on the date the transactions</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are entered into. Generally, when the US dollar rises in value against a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>foreign currency, the Funds&#8217; investments denominated in that currency</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>will lose value because its currency is worth fewer US dollars; the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>opposite effect occurs if the US dollar falls in relative value.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds report realized currency gains (losses) on foreign currency</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>related transactions as components of net realized gain (loss) for financial</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reporting purposes, whereas such components are treated as ordinary</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income for federal income tax purposes.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Asset-Backed and Mortgage-Backed Securities: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds may invest</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in asset-backed securities. Asset-backed securities are generally issued as<BR></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pass-through certificates, which represent undivided fractional ownership</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interests in an underlying pool of assets, or as debt instruments, which are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>also known as collateralized obligations, and are generally issued as the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>debt of a special purpose entity organized solely for the purpose of owning</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>such assets and issuing such debt. Asset-backed securities are often</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>backed by a pool of assets representing the obligations of a number of dif-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ferent parties. The yield characteristics of certain asset-backed securities</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may differ from traditional debt securities. One such major difference is</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that all or a principal part of the obligations may be prepaid at any time</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>because the underlying assets (i.e., loans) may be prepaid at any time. As</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a result, a decrease in interest rates in the market may result in increases</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in the level of prepayments as borrowers, particularly mortgagors, refinance</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and repay their loans. An increased prepayment rate with respect to an</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>asset-backed security subject to such a prepayment feature will have the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>effect of shortening the maturity of the security. If a Fund has purchased</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>such an asset-backed security at a premium, a faster than anticipated</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prepayment rate could result in a loss of principal to the extent of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>premium paid.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds may purchase certain mortgage pass-through securities.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>There are a number of important differences among the agencies and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instrumentalities of the US government that issue mortgage-related</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities and among the securities that they issue. For example, mortgage-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>related securities guaranteed by Ginnie Mae are guaranteed as to the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>timely payment of principal and interest by Ginnie Mae and such guarantee</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is backed by the full faith and credit of the United States. However,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mortgage-related securities issued by Freddie Mac and Fannie Mae, inc-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>luding Freddie Mac and Fannie Mae guaranteed Mortgage Pass-Through</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certificates, which are solely the obligations of Freddie Mac and Fannie</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mae, are not backed by or entitled to the full faith and credit of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>United States and are supported by the right of the issuer to borrow</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>from the Treasury.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Zero-Coupon Bonds: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds may invest in zero-coupon bonds, which</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are normally issued at a significant discount from face value and do not</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>provide for periodic interest payments. Zero-coupon bonds may experience</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>greater volatility in market value than similar maturity debt obligations</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which provide for regular interest payments.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Preferred Stock: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds may invest in preferred stocks. Preferred</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>stock has a preference over common stock in liquidation (and generally</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in receiving dividends as well) but is subordinated to the liabilities of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>issuer in all respects. As a general rule, the market value of preferred stock</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with a fixed dividend rate and no conversion element varies inversely with</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest rates and perceived credit risk, while the market price of convertible</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>preferred stock generally also reflects some element of conversion value.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Because preferred stock is junior to debt securities and other obligations of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the issuer, deterioration in the credit quality of the issuer will cause greater</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>changes in the value of a preferred stock than in a more senior debt</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>security with similar stated yield characteristics. Unlike interest payments</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on debt securities, preferred stock dividends are payable only if declared</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the issuer&#8217;s board of directors. Preferred stock also may be subject to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>optional or mandatory redemption provisions.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds may invest in floating rate loan</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interests. The floating rate loan interests the Funds hold are typically issued</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to companies (the &#8220;borrower&#8221;) by banks, other financial institutions, and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>privately and publicly offered corporations (the &#8220;lender&#8221;). Floating rate loan</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interests are generally non-investment grade, often involve borrowers whose</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial condition is troubled or uncertain and companies that are highly</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>leveraged. The Funds may invest in obligations of borrowers who are in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>bankruptcy proceedings. Floating rate loan interests may include fully</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>funded term loans or revolving lines of credit. Floating rate loan interests</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are typically senior in the corporate capital structure of the borrower.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating rate loan interests generally pay interest at rates that are periodi-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cally determined by reference to a base lending rate plus a premium. The</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>base lending rates are generally the lending rate offered by one or more</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>European banks, such as LIBOR (London Inter Bank Offered Rate), the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prime rate offered by one or more US banks or the certificate of deposit</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate. Floating rate loan interests may involve foreign borrowers, and invest-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments may be denominated in foreign currencies. The Funds consider these</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments to be investments in debt securities for purposes of their</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment policies.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>When a Fund buys a floating rate loan interest it may receive a facility</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fee and when it sells a floating rate loan interest it may pay a facility fee.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>On an ongoing basis, the Funds may receive a commitment fee based on</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the undrawn portion of the underlying line of credit amount of a floating</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate loan interest. The Funds earn and/or pay facility and other fees on</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>floating rate loan interests, which are shown as facility and other fees in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Statements of Operations. Facility and commitment fees are typically</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amortized to income over the term of the loan or term of the commitment,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respectively. Consent and amendment fees are recorded to income as</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>earned. Prepayment penalty fees, which may be received by the Funds</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>upon the prepayment of a floating rate loan interest by a borrower, are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recorded as realized gains. The Funds may invest in multiple series or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tranches of a loan. A different series or tranche may have varying terms</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and carry different associated risks.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating rate loan interests are usually freely callable at the borrower&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>option. The Funds may invest in such loans in the form of participations in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loans (&#8220;Participations&#8221;) or assignments (&#8220;Assignments&#8221;) of all or a portion</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of loans from third parties. Participations typically will result in the Funds</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>having a contractual relationship only with the lender, not with the bor-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rower. The Funds will have the right to receive payments of principal,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest and any fees to which it is entitled only from the lender selling</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Participation and only upon receipt by the lender of the payments</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>from the borrower. In connection with purchasing Participations, the Funds</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>generally will have no right to enforce compliance by the borrower with the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>terms of the loan agreement, nor any rights of offset against the borrower,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and the Funds may not benefit directly from any collateral supporting the<BR></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan in which it has purchased the Participation. As a result, the Funds will</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assume the credit risk of both the borrower and the lender that is selling</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Participation. The Funds&#8217; investment in loan participation interests</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>involves the risk of insolvency of the financial intermediaries who are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>parties to the transactions. In the event of the insolvency of the lender</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>selling the Participation, the Funds may be treated as general creditors of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the lender and may not benefit from any offset between the lender and the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrower. Assignments typically result in the Funds having a direct contrac-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tual relationship with the borrower, and the Funds may enforce compliance</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the borrower with the terms of the loan agreement.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Forward Commitments and When-Issued Delayed Delivery Securities:</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds may purchase securities on a when-issued basis and may</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>purchase or sell securities on a forward commitment basis. Settlement of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>such transactions normally occurs within a month or more after the pur-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>chase or sale commitment is made. The Funds may purchase securities</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>under such conditions with the intention of actually acquiring them, but</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may enter into a separate agreement to sell the securities before the settle-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment date. Since the value of securities purchased may fluctuate prior to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>settlement, the Funds may be required to pay more at settlement than the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>security is worth. In addition, the Funds are not entitled to any of the inter-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>est earned prior to settlement. When purchasing a security on a delayed</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>delivery basis, the Funds assume the rights and risks of ownership of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>security, including the risk of price and yield fluctuations. In the event of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default by the counterparty, the Funds&#8217; maximum amount of loss is the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unrealized appreciation of unsettled when-issued transactions, which is</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shown in the Schedules of Investments, if any.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>TBA Commitments: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds may enter into TBA commitments. TBA</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>commitments are forward agreements for the purchase or sale of mort-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>gage-backed securities for a fixed price, with payment and delivery on an</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreed upon future settlement date. The specific securities to be delivered</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are not identified at the trade date; however, delivered securities must meet</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>specified terms, including issuer, rate and mortgage terms. The Funds gen-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>erally enter into TBA commitments with the intent to take possession of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or deliver the underlying mortgage-backed securities but can extend the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>settlement or roll the transaction. TBA commitments involve a risk of loss</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if the value of the security to be purchased or sold declines or increases,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respectively, prior to settlement date.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Mortgage Dollar Roll Transactions: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds may sell TBA mortgage-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>backed securities and simultaneously contract to repurchase substantially</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>similar (same type, coupon and maturity) securities on a specific future</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>date at an agreed upon price. During the period between the sale and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>repurchase, the Funds will not be entitled to receive interest and principal</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>payments on the securities sold. The Funds account for dollar roll</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transactions as purchases and sales and realize gains and losses on these</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transactions. These transactions may increase the Funds&#8217; portfolio turnover</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate. Mortgage dollar rolls involve the risk that the market value of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities that the Funds are required to purchase may decline below</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the agreed upon repurchase price of those securities.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>64 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<FONT color="#394c87" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Notes to Financial Statements (continued)</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Reverse Repurchase Agreements: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Certain Funds may enter into reverse</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">repurchase agreements with qualified third party broker-dealers. In a</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">reverse repurchase agreement, the Funds sell securities to a bank or bro-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ker-dealer and agree to repurchase the same securities at a mutually</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">agreed upon date and price. Certain agreements have no stated maturity</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and can be terminated by either party at any time. Interest on the value of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the reverse repurchase agreements issued and outstanding is based upon</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">competitive market rates determined at the time of issuance. The Funds</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">may utilize reverse repurchase agreements when it is anticipated that the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">interest income to be earned from the investment of the proceeds of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">transaction is greater than the interest expense of the transaction. Reverse</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">repurchase agreements involve leverage risk and also the risk that the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">market value of the securities that the Funds are obligated to repurchase</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">under the agreement may decline below the repurchase price. In the event</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the buyer of securities under a reverse repurchase agreement files for</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">bankruptcy or becomes insolvent, the Funds&#146; use of the proceeds of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">agreement may be restricted while the other party, or its trustee or receiver,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">determines whether or not to enforce the Funds&#146; obligation to repurchase</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the securities.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Segregation and Collateralization: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">In cases in which the 1940 Act and the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">interpretive positions of the Securities and Exchange Commission (&#147;SEC&#146;)</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">require that the Funds either deliver collateral or segregate assets in con-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">nection with certain investments (e.g., dollar rolls, TBA sale commitments,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">financial futures contracts, foreign currency exchange contracts and swaps)</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">or certain borrowings (e.g., reverse repurchase agreements, TALF loans</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and loan payable), the Funds will, consistent with SEC rules and/or</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">certain interpretive letters issued by the SEC, segregate collateral or desig-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">nate on their books and records cash or other liquid securities having</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">a market value at least equal to the amount that would otherwise be</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">required to be physically segregated. Furthermore, based on requirements</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and agreements with certain exchanges and third party broker-dealers,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">each party has requirements to deliver/deposit securities as collateral for</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">certain investments.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Investment Transactions and Investment Income: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">For financial reporting</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">purposes, investment transactions are recorded on the dates the transac-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tions are entered into (the trade dates). For financial reporting purposes,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">contributions to and withdrawals from the Master LLC are accounted for</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">on a trade basis. Realized gains and losses on investment transactions</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">are determined on the identified cost basis. Dividend income is recorded</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">on the ex-dividend dates. Dividends from foreign securities where the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ex-dividend date may have passed are subsequently recorded when the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Funds are informed of the ex-dividend date. Interest income, including</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">amortization and accretion of premiums and discounts on debt securities,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">is recognized on the accrual basis. Consent fees are compensation for</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">agreeing to changes in the terms of debt instruments and are included</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">in facility and other fees in the Statements of Operations.</FONT></P>
<P style="text-align: left;">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Senior Floating Rate and Senior Floating Rate II record daily their propor-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tionate share of the Master LLC&#146;s income, expenses and realized and unre-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">alized gains and losses. In addition, both Funds accrue their own expenses.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Dividends and Distributions: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Dividends from net investment income are</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">declared and paid monthly. Distributions of capital gains are recorded on</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the ex-dividend dates. If the total dividends and distributions made in any</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tax year exceeds net investment income and accumulated realized capital</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">gains, a portion of the total distribution may be treated as a tax return of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">capital. The amount and timing of dividends and distributions are deter-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">mined in accordance with federal income tax regulations, which may differ</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">from US GAAP.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Income Taxes: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">It is each Fund&#146;s policy to comply with the requirements of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the Internal Revenue Code of 1986, as amended, applicable to regulated</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">investment companies and to distribute substantially all of its taxable</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">income to its shareholders. Therefore, no federal income tax provision</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">is required.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Certain Funds have wholly owned taxable subsidiaries organized as limited</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">liability companies (the &#147;Taxable Subsidiaries&#148;) each of which holds one</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">of the investments listed in the Schedules of Investments. The Taxable</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Subsidiaries allow a Fund to hold an investment that is organized as an</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">operating partnership while still satisfying Regulated Investment Company</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tax requirements. Income earned on the investments held by the Taxable</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Subsidiaries is taxable to such subsidiaries. Income tax expense, if any, of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the Taxable Subsidiaries is reflected in the value of the investments held by</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the Taxable Subsidiaries.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Each Fund files US federal and various state and local tax returns. No</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">income tax returns are currently under examination. The statute of limita-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tions on the Funds&#146; US federal tax returns remains open for each of the two</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">years ended August 31, 2010 and the period ended August 31, 2008 for</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BHL, the four years ended August 31, 2010 for DVF, FRA, Senior Floating</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Rate and Senior Floating Rate II and the two years ended August 31,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">2010, the period ended August 31, 2008 and the year ended October 31,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">2007 for BLW. The statutes of limitations on the Funds&#146; state and local tax</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">returns may remain open for an additional year depending upon the juris-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">diction. Management does not believe there are any uncertain tax positions</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">that require recognition of a tax liability.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Deferred Compensation and BlackRock Closed-End Share Equivalent</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Investment Plan: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Under the deferred compensation plan approved by each</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund&#146;s Board, non-interested Directors (&#147;Independent Directors&#148;) may defer</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">a portion of their annual complex-wide compensation. Deferred amounts</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">earn an approximate return as though equivalent dollar amounts had been</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">invested in common shares of certain other BlackRock Closed-End Funds</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">selected by the Independent Directors. This has approximately the same</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">economic effect for the Independent Directors as if the Independent</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Directors had invested the deferred amounts directly in certain other</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Closed-End Funds.</FONT></P>
<P style="text-align: left;">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">SEMI-ANNUAL REPORT FEBRUARY 28, 2011 65</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The deferred compensation plan is not funded and obligations there-under</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>represent general unsecured claims against the general assets of each</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund. Each Fund may, however, elect to invest in common shares of certain</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other BlackRock Closed-End Funds selected by the Independent Directors</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in order to match its deferred compensation obligations. Investments to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cover each Fund&#8217;s deferred compensation liability, if any, are included in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other assets in the Statements of Assets and Liabilities. Dividends and dis-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tributions from the BlackRock Closed-End Fund investments under the plan</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are included in dividends &#8212; affiliated in the Statements of Operations.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Other: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expenses directly related to a Fund are charged to that Fund. Other</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>operating expenses shared by several funds are pro rated among those</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>funds on the basis of relative net assets or other appropriate methods. The</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds have an arrangement with the custodians whereby fees may be</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reduced by credits earned on uninvested cash balances, which if applica-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ble are shown as fees paid indirectly in the Statements of Operations. The</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>custodians impose fees on overdrawn cash balances, which can be offset</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by accumulated credits earned or may result in additional custody charges.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>2. Derivative Financial Instruments:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds engage in various portfolio investment strategies using derivative</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts both to increase the returns of the Funds and to economically</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>hedge, or protect, their exposure to certain risks such as credit risk, interest</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate risk or foreign currency exchange rate risk. These contracts may be</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transacted on an exchange or OTC.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Losses may arise if the value of the contract decreases due to an unfavor-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>able change in the market rates or values of the underlying instrument or if</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the counterparty does not perform under the contract. The Funds&#8217; maximum</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risk of loss from counterparty credit risk on OTC derivatives is generally the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>aggregate unrealized gain netted against any collateral pledged by/posted</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the counterparty. For OTC options purchased, the Funds bear the risk of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loss in the amount of the premiums paid plus the positive change in mar-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ket values net of any collateral received on the options should the counter-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>party fail to perform under the contracts. Options written by the Funds do</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>not give rise to counterparty credit risk, as options written obligate the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds to perform and not the counterparty. Counterparty risk related to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange-traded financial futures contracts and options is deemed to be</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>minimal due to the protection against defaults provided by the exchange</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on which these contracts trade.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may mitigate counterparty risk by procuring collateral and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>through netting provisions included within an International Swaps and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivatives Association, Inc. (&#8220;ISDA&#8221;) Master Agreement implemented</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between a Fund and each of its respective counterparties. The ISDA Master</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Agreement allows each Fund to offset with each separate counterparty</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>certain derivative financial instrument&#8217;s payables and/or receivables</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with collateral held. The amount of collateral moved to/from applicable</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparties is generally based upon minimum transfer amounts of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>up to $500,000. To the extent amounts due to the Funds from their</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparties are not fully collateralized contractually or otherwise, the<BR></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds bear the risk of loss from counterparty non-performance. See Note 1</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8220;Segregation and Collateralization&#8221; for information with respect to collateral</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>practices. In addition, the Funds manage counterparty risk by entering into</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreements only with counterparties that it believes have the financial</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>resources to honor their obligations and by monitoring the financial stability</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of those counterparties.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain ISDA Master Agreements allow counterparties to OTC derivatives to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>terminate contracts prior to maturity in the event the Funds&#8217; net assets</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>decline by a stated percentage or the Funds fail to meet the terms of its</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ISDA Master Agreements, which would cause the Funds to accelerate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>payment of any net liability owed to the counterparty.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Financial Futures Contracts: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds purchase or sell financial futures</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts and options on financial futures contracts to gain exposure to, or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>economically hedge against, changes in interest rates (interest rate risk).</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts are agreements between the Funds and the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparty to buy or sell a specific quantity of an underlying instrument</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>at a specified price and at a specified date. Depending on the terms of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the particular contract, futures contracts are settled either through physical</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>delivery of the underlying instrument on the settlement date or by payment</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of a cash settlement amount on settlement date. Pursuant to the contract,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Funds agree to receive from or pay to the broker an amount of cash</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>equal to the daily fluctuation in value of the contract. Such receipts or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>payments are known as margin variation and are recorded by the Funds</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as unrealized appreciation or depreciation. When the contract is closed,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Funds record a realized gain or loss equal to the difference between</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the value of the contract at the time it was opened and the value at the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>time it was closed. The use of financial futures contracts involves the risk</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of an imperfect correlation in the movements in the price of financial</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>futures contracts, interest rates and the underlying assets.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Foreign Currency Exchange Contracts: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds enter into foreign cur-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rency exchange contracts as an economic hedge against either specific</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transactions or portfolio instruments or to obtain exposure to foreign cur-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rencies (foreign currency exchange rate risk). A foreign currency exchange</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contract is an agreement between two parties to buy and sell a currency at</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a set exchange rate on a future date. Foreign currency exchange contracts,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>when used by the Funds, help to manage the overall exposure to the cur-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rency backing some of the investments held by the Funds. The contract is</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>marked-to-market daily and the change in market value is recorded by the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds as an unrealized gain or loss. When the contract is closed, the Funds</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>record a realized gain or loss equal to the difference between the value at</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the time it was opened and the value at the time it was closed. The use</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of foreign currency exchange contracts involves the risk that the value of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a foreign currency exchange contract changes unfavorably due to move-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments in the value of the referenced foreign currencies and the risk that</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>66 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a counterparty to the contract does not perform its obligations under</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the agreement.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Options: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds purchase and write call and put options to increase</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or decrease their exposure to underlying instruments (interest rate risk)</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and/or, in the case of options written, to generate gains from options</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>premiums. A call option gives the purchaser of the option the right (but</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>not the obligation) to buy, and obligates the seller to sell (when the option</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is exercised), the underlying instrument at the exercise price at any time or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>at a specified time during the option period. A put option gives the holder</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the right to sell and obligates the writer to buy the underlying instrument</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>at the exercise price at any time or at a specified time during the option</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period. When the Funds purchase (write) an option, an amount equal</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the premium paid (received) by the Funds is reflected as an asset</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(liability). The amount of the asset (liability) is subsequently marked-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to-market to reflect the current market value of the option purchased</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(written). When an instrument is purchased or sold through an exercise</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of an option, the related premium paid (or received) is added to (or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>deducted from) the basis of the instrument acquired or deducted from</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(or added to) the proceeds of the instrument sold. When an option expires</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(or the Funds enter into a closing transaction), the Funds realize a gain</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or loss on the option to the extent of the premiums received or paid (or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>gain or loss to the extent the cost of the closing transaction exceeds the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>premiums received or paid). When the Funds write a call option, such</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>option is &#8220;covered,&#8221; meaning that the Funds hold the underlying instrument</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>subject to being called by the option counterparty. When the Funds write</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a put option, such option is covered by cash in an amount sufficient to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cover the obligation.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In purchasing and writing options, the Funds bear the risk of an unfavor-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>able change in the value of the underlying instrument or the risk that the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds may not be able to enter into a closing transaction due to an illiquid</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market. Exercise of a written option could result in the Funds purchasing or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>selling a security at a price different from the current market value.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Swaps: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds enter into swap agreements, in which the Funds and a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparty agree to make periodic net payments on a specified notional</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amount. These periodic payments received or made by the Funds are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recorded in the Statements of Operations as realized gains or losses,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respectively. Any upfront fees paid are recorded as assets and any upfront</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fees received are recorded as liabilities and amortized over the term of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>swap. Swaps are marked-to-market daily and changes in value are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recorded as unrealized appreciation (depreciation). When the swap is ter-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>minated, the Funds will record a realized gain or loss equal to the differ-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ence between the proceeds from (or cost of) the closing transaction and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Funds&#8217; basis in the contract, if any. Generally, the basis of the contracts</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is the premium received or paid. Swap transactions involve, to varying</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>degrees, elements of interest rate, credit and market risk in excess of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amounts recognized in the Statements of Assets and Liabilities. Such risks</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>involve the possibility that there will be no liquid market for these agree-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments, that the counterparty to the agreements may default on its obliga-<BR></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion to perform or disagree as to the meaning of the contractual terms in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the agreements, and that there may be unfavorable changes in interest</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates and/or market values associated with these transactions.</FONT><BR><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps &#8212; The Funds enter into credit default swaps to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>manage their exposure to the market or certain sectors of the market,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to reduce its risk exposure to defaults of corporate and/or sovereign</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>issuers or to create exposure to corporate and/or sovereign issuers to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which they are not otherwise exposed (credit risk). The Funds enter into</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit default swap agreements to provide a measure of protection</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>against the default of an issuer (as buyer of protection) and/or gain</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit exposure to an issuer to which it is not otherwise exposed (as</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>seller of protection). The Funds may either buy or sell (write) credit</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default swaps on single-name issuers (corporate or sovereign), a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>combination or basket of single-name issuers or traded indexes.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on single-name issuers are agreements in which</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the buyer pays fixed periodic payments to the seller in consideration</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for a guarantee from the seller to make a specific payment should a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>negative credit event take place with respect to the referenced entity</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e.g., bankruptcy, failure to pay, obligation accelerators, repudiation,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>moratorium or restructuring). Credit default swaps on traded indexes</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are agreements in which the buyer pays fixed periodic payments to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the seller in consideration for a guarantee from the seller to make a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>specific payment should a write-down, principal or interest shortfall or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default of all or individual underlying securities included in the index</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>occurs. As a buyer, if an underlying credit event occurs, the Funds will</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>either receive from the seller an amount equal to the notional amount</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the swap and deliver the referenced security or underlying securities</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>comprising the index or receive a net settlement of cash equal to the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>notional amount of the swap less the recovery value of the security or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underlying securities comprising the index. As a seller (writer), if an</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underlying credit event occurs, the Funds will either pay the buyer an</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amount equal to the notional amount of the swap and take delivery</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the referenced security or underlying securities comprising the index</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or pay a net settlement of cash equal to the notional amount of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>swap less the recovery value of the security or underlying securities</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>comprising the index.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 67</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Derivative Instruments Categorized by Risk Exposure:</FONT></B>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=9 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fair Values of Derivative Instruments as of February 28, 2011</FONT></B></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=9 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset Derivatives</FONT></B></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BHL</FONT></B>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>DVF</FONT></B>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>FRA</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BLW</FONT></B>&nbsp;</TD></TR>

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   <TD colSpan=9 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Statement of Assets</FONT></B></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; and Liabilities Location</FONT></B>&nbsp;</TD>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 13px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on foreign</FONT>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 13px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts</FONT>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,661</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,285</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 1px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 15,275</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=9 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liability Derivatives</FONT></B></TD></TR>

<TR>

   <TD colSpan=9>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BHL</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>DVF</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>FRA</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BLW</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=9 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Statement of Assets</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; and Liabilities Location</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 13px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 13px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>appreciation/depreciation*</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 36,143</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 13px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on foreign</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 13px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 176,575</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 188,636</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 333,453</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>736,158</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 13px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on swaps</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>83,243</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 176,575</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 188,636</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 333,543</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 855,544</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" colSpan=9 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* Includes cumulative appreciation/depreciation on the financial futures contracts as reported in the Schedules of Investments. Only current day&#8217;s margin variation is reported within</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Statements of Assets and Liabilities.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=9 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>The Effect of Derivative Instruments in the Statements of Operations</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=9 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended February 28, 2011</FONT></B></TD></TR>

<TR>

   <TD colSpan=9>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=9 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Realized Gain (Loss) from</FONT></B></TD></TR>

<TR>

   <TD colSpan=9>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BHL</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>DVF</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>FRA</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BLW</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (195,876)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Options**</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,025)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (683,392)</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (655,580)</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(1,218,348)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,234,984)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10,913)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(48,942)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (683,392)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (666,493)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(1,218,348)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (5,500,827)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=9 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Change in Unrealized Appreciation/Depreciation on</FONT></B></TD></TR>

<TR>

   <TD colSpan=9>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BHL</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>DVF</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>FRA</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BLW</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 144,671</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Options**</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,231</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (169,435)</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (174,297)</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (278,445)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(23,738)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,480</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(156,244)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (169,435)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (152,817)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (278,445)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (15,080)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>** Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>68 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_71"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2011 the average quarterly balances of outstanding derivative financial instruments were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="47%"></TD>

   <TD width="24%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BHL</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>DVF</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>FRA</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BLW</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts sold</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value of contracts purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 487,956</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value of contracts sold</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$21,606,899</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts &#8212; US dollars purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts &#8212; US dollars sold</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average US dollar amounts purchased.</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$11,428,279</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$11,638,271</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$21,384,156</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$37,943,242</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average US dollar amounts sold</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 364,248</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 778,319</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,056,731</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 640,523</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Options:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of option contracts purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value of option contracts purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12,257</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18,857</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 43,372</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts &#8212; buy protection</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts &#8212; sell protection</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value-buy protection</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,100,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value-sell protection</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 150,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>3. Investment Advisory Agreement and Other Transactions</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>with Affiliates:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The PNC Financial Services Group, Inc. (&#8220;PNC&#8221;), Bank of America</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporation (&#8220;BAC&#8221;) and Barclays Bank PLC (&#8220;Barclays&#8221;) are the largest</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>stockholders of BlackRock, Inc. (&#8220;BlackRock&#8221;). Due to the ownership</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>structure, PNC is an affiliate of the Funds for 1940 Act purposes, but</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BAC and Barclays are not.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL, DVF, FRA and BLW entered into an Investment Advisory Agreement</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with BlackRock Advisors, LLC (the &#8220;Manager&#8221;), the Funds&#8217; investment advi-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sor, an indirect, wholly owned subsidiary of BlackRock, to provide invest-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment advisory and administration services. The Manager is responsible for</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the management of each Fund&#8217;s portfolio and provides the necessary per-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sonnel, facilities, equipment and certain other services necessary to the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>operations of each Fund. For such services, each Fund pays the Manager a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>monthly fee at an annual rate of each Fund&#8217;s average daily net assets, plus</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the proceeds of any outstanding borrowings used for leverage as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="48%"></TD>

   <TD width="51%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.75%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.75%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Manager voluntarily agreed to waive its investment advisory fees by</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the amount of investment advisory fees each Fund pays to the Manager</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>indirectly through its investment in affiliated money market funds, however</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Manager does not waive its investment advisory fees by the amount</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of investment advisory fees paid through each Fund&#8217;s investment in other</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>affiliated investment companies, if any. These amounts are shown as fees</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>waived by advisor in the Statements of Operations. For the six months</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ended February 28, 2011, the amounts waived were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="48%"></TD>

   <TD width="51%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 819</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 861</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,260</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,854</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Manager, on behalf of BHL, DVF, FRA and BLW, entered into a sub-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>advisory agreement with BlackRock Financial Management, Inc. (&#8220;BFM&#8221;),</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>an affiliate of the Manager. The Manager pays BFM for services it provides,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a monthly fee that is a percentage of the investment advisory fees paid by</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each Fund to the Manager.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2011, certain Funds reimbursed</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Manager for certain accounting services, which are included in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accounting services in the Statements of Operations. The reimbursements</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="48%"></TD>

   <TD width="51%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 444</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 461</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,860</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$6,942</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate and Senior Floating Rate II entered into an</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Administration Agreement with the Manager. The administration fee paid</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the Manager is calculated daily and paid monthly based on an annual</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate of 0.25% and 0.40%, respectively, of the average daily value of these</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#8217;s net assets for the performance of administrative services (other</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>than investment advice and related portfolio activities) necessary for the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>operation of these Funds.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For Senior Floating Rate II, the Manager voluntarily agreed to waive</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expenses in order to limit total annual Fund operating expenses (excluding</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest expense, acquired fund fees and expenses and certain other</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expenses) to 1.83% of the Fund&#8217;s average daily net assets. This voluntary</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>waiver may be reduced or discontinued at any time without notice.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate and Senior Floating Rate II entered into a separate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Distribution Agreement and Distribution Plan with BlackRock Investments,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC (&#8220;BRIL&#8221;), which is an affiliate of BlackRock.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2011, BRIL received early with-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>drawal charges for Senior Floating Rate and Senior Floating Rate II in the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amount of $57,184 and $3,990, respectively relating to the tender of each</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#8217;s shares.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 69</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_72"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate and Senior Floating Rate II may earn income on</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>positive cash balances in demand deposit accounts that are maintained</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the transfer agent on behalf of the Funds. These amounts are included</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in dividends &#8211; affiliated in the Statements of Operations.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain officers and/or trustees of the Funds are officers and/or directors</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of BlackRock or its affiliates. The Funds reimburse the Manager for com-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pensation paid to the Funds&#8217; Chief Compliance Officer.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>4. Investments:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases and sales of investments including paydowns and mortgage dol-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lar roll transactions and excluding short-term securities and US government</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities for the six months ended February 28, 2011, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="31%"></TD>

   <TD width="47%"></TD>

   <TD width="21%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Purchases</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Sales</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$110,302,210</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 82,285,931</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$115,481,381</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 90,472,347</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$235,661,473</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$188,787,497</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$487,497,672</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$432,264,757</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2011, purchases and sales</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of US government securities for BLW were $2,513,922 and $3,382,238,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respectively.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2011, purchases and sales for BLW</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>attributable to mortgage dollar rolls were $49,508,781 and $49,664,770,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respectively.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>5. Commitments:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may invest in floating rate loan interests. In connection with</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>these investments, the Funds may also enter into unfunded loan commit-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments (&#8220;commitments&#8221;). Commitments may obligate the Funds to furnish</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>temporary financing to a borrower until permanent financing can be</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>arranged. In connection with these commitments, the Funds earn a com-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mitment fee, typically set as a percentage of the commitment amount.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Such fee income, which is classified in the Statements of Operations as</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>facility and other fees, is recognized ratably over the commitment period.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>As of February 28, 2011, the Funds had the following unfunded loan com-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mitments:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="40%"></TD>

   <TD width="38%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value of</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Underlying</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Borrower</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitment</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BHL</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Axcan</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 333,333</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 336,037</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CII Investment, LLC</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 120,155</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 121,811</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi Holdings LLP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 122,764</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 119,080</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Airlines, Inc.</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 950,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 973,370</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Horizon Lines, LLC</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 92,394</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 91,518</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>DVF</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Axcan</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 350,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 352,840</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CII Investment, LLC</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 64,984</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 65,345</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi Holdings LLP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 122,764</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 119,081</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Airlines, Inc.</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,025,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,052,806</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Echostar</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,395,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,395,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Horizon Lines, LLC</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 92,394</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 91,317</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>FRA</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Axcan</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 733,333</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 739,283</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CII Investment, LLC</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 186,179</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 190,448</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi Holdings LLP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 306,911</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 297,703</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Airlines, Inc.</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 925,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 946,040</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Echostar</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,860,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,860,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Horizon Lines, LLC</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 184,789</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 182,915</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BLW</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Axcan</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 500,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 504,058</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi Holdings LLP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 613,821</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 595,407</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Airlines, Inc.</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$4,750,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$4,876,883</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Echostar</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$4,800,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$4,800,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>6. Capital Loss Carryforwards:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>As of August 31, 2010, the Funds had capital carry loss carryforwards available to offset future realized capital gains through the indicated</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expiration dates:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="26%"></TD>

   <TD width="24%"></TD>

   <TD width="9%"></TD>

   <TD width="10%"></TD>

   <TD width="9%"></TD>

   <TD width="10%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expires August 31,</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BHL</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>DVF</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>FRA</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BLW</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund II</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 53,409,203</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$17,719,049</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2012</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,221,818</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,383,383</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2013</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 691,829</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56,166,095</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2014</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,755,694</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>945,546</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2015</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,237,399</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,561,691</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2016</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,444,704</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475,453</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$21,933,927</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,419,599</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,923,144</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2017</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,063,204</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,249,830</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,954,032</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,996,868</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,221,457</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,728,284</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2018</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,362,244</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>52,502,532</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>43,990,722</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,509,275</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,888,146</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,009,722</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$6,425,448</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$78,190,159</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$66,112,036</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$69,440,070</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$235,833,555</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$55,763,582</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Under the recently enacted Regulated Investment Company Modernization</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Act of 2010, capital losses incurred by the Funds after August 31, 2011</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>will not be subject to expiration. In addition, these losses must be utilized</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prior to the losses incurred in pre-enactment taxable years.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>70 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_73"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>7. Concentration, Market and Credit Risk:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In the normal course of business, the Funds invest in securities and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>enter into transactions where risks exist due to fluctuations in the market</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(market risk) or failure of the issuer of a security to meet all its obligations</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(issuer credit risk). The value of securities held by the Funds may decline</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in response to certain events, including those directly involving the issuers</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>whose securities are owned by the Funds; conditions affecting the general</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>economy; overall market changes; local, regional or global political, social</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or economic instability; and currency and interest rate and price fluctua-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions. Similar to issuer credit risk, the Funds may be exposed to counter-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>party credit risk, or the risk that an entity with which the Funds have</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unsettled or open transactions may fail to or be unable to perform on its</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>commitments. The Funds manage counterparty credit risk by entering into</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transactions only with counterparties that they believe have the financial</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>resources to honor their obligations and by monitoring the financial stability</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of those counterparties. Financial assets, which potentially expose the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds to market, issuer and counterparty credit risks, consist principally of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial instruments and receivables due from counterparties. The extent</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the Funds&#8217; exposure to market, issuer and counterparty credit risks with</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respect to these financial assets is generally approximated by their value</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recorded in the Funds&#8217; Statements of Assets and Liabilities, less any collat-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>eral held by the Funds.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds invest a significant portion of their assets in securities</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>backed by commercial or residential mortgage loans or in issuers that hold</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mortgage and other asset-backed securities. Please see the Schedules of<BR></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments for these securities. Changes in economic conditions, including</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>delinquencies and/or defaults on assets underlying these securities, can</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>affect the value, income and/or liquidity of such positions.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>8. Capital Share Transactions:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL and BLW are authorized to issue an unlimited number of shares, par</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value $0.001, all of which were initially classified as Common Shares. DVF</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and FRA are authorized to issue 200 million shares, par value $0.10, all of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which were initially classified as Common Shares. The Board is authorized,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>however, to classify and reclassify any unissued shares without approval of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Shareholders.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2011 and the year ended August</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31, 2010, shares issued and outstanding increased by the following</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amounts as a result of dividend reinvestment:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="28%"></TD>

   <TD width="48%"></TD>

   <TD width="22%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31, 2010</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,257</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,241</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>52,693</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,473</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>72,267</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,738</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>At February 28, 2011, the shares owned by affiliates of the Manager of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="48%"></TD>

   <TD width="51%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,517</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,017</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transactions in capital shares, with respect to Senior Floating Rate and Senior Floating Rate II, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="37%"></TD>

   <TD width="14%"></TD>

   <TD width="19%"></TD>

   <TD width="17%"></TD>

   <TD width="3%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>

   <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; August 31, 2009</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior Floating Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares sold</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,471,679</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11,472,862</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,423,990</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18,308,182</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares issued to shareholders in reinvestment of dividends</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53,539</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>416,519</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135,475</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,019,194</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total issued</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,525,218</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,889,381</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,559,465</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,327,376</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares tendered</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,790,817)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,512,826)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,801,031)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(50,873,171)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net decrease</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,265,599)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (9,623,445)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,241,566)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (31,545,795)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior Floating Rate II</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares sold</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>837,185</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,034,991</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,093,983</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17,121,260</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares issued to shareholders in reinvestment of dividends</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,664</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>157,289</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77,460</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>629,469</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total issued</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>855,849</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,192,280</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,171,443</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,750,729</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares tendered</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,869,368)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(15,662,491)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,249,989)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(26,508,193)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net decrease</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,013,519)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (8,470,211)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,078,546)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (8,757,464)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 71</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>9. Borrowings:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>On March 4, 2010, BHL, DVF and FRA entered into a senior committed</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>secured, 364-day revolving line of credit and a separate security agreement</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(the &#8220;SSB Agreement&#8221;) with State Street Bank and Trust Company (&#8220;SSB&#8221;).</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds have granted a security interest in substantially all of their</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets to SSB. The SSB Agreement allowed for the following maximum</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>commitment amounts:</FONT></P>

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<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitment</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amounts</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 55,000,000</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 55,000,000</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$103,000,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advances were made by SSB to the Funds, at the Funds&#8217; option of (a)</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the higher of (i) 1.0% above the Fed Funds rate and (ii) 1.0% above</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Overnight LIBOR or (b) 1.0% above the 7-day, 30-day, 60-day or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>90-day LIBOR.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Effective March 3, 2011, the SSB Agreement was renewed for 364</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>days. The SSB Agreement allows for the following maximum commitment</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amounts:</FONT></P>

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   <TD width="56%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitment</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amounts</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 63,300,000</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 66,800,000</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$137,200,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advances are made by SSB to the Funds at the Funds&#8217; option of (a) the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Overnight LIBOR or (b) 0.80% above the 7-day, 30-day, 60-day or 90-day</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR. In addition, the Funds pay a facility fee and a commitment fee</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on SSB&#8217;s total commitment to the Funds. The fees associated with</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each of the agreements are included in the Statements of Operations as</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrowing costs. Advances to the Funds as of February 28, 2011 are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shown in the Statements of Assets and Liabilities as loan payable.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may not declare dividends or make other distributions on shares</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or purchase any such shares if, at the time of the declaration, distribution</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or purchase, asset coverage with respect to the outstanding short-term</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrowings is less than 300%.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the six months ended February 28, 2011, BLW borrowed under the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Asset-Backed Securities Loan Facility (&#8220;TALF&#8221;). The TALF program was</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>launched by the US Department of Treasury and the Federal Reserve Board</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as a credit facility designed to restore liquidity to the market for asset-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>backed securities. The Federal Reserve Bank of New York (&#8220;FRBNY&#8221;) pro-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>vided up to $1 trillion in non-recourse loans to support the issuance of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>certain AAA-rated asset-backed securities and commercial mortgage-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>backed securities (&#8220;Eligible Securities&#8221;). The Fund posted as collateral</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>already-held Eligible Securities, which were all commercial mortgage-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>backed securities, in return for non-recourse, 5-year term loans (&#8220;TALF</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loans&#8221;) in an amount equal to approximately 85% of the value of such</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Eligible Securities.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The non-recourse provision of the TALF loans allowed the Fund to satisfy</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan obligations with Eligible Securities, subject to certain conditions, even</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if the value of the Eligible Securities falls below the outstanding amount of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the loan. The Fund can repay TALF loans prior to the maturity dates with no</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>penalty. Principal and interest due on the loans will typically be paid with</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>principal paydowns and interest received from the Eligible Securities. Credit</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreements underlying each loan contain provisions to address instances</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in which interest payments on Eligible Securities fall short of amounts due</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the FRBNY. The Fund paid to the FRBNY a one time administration fee</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of 0.20% of the amount borrowed, which was expensed as incurred in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the current period by the Fund and is included in borrowing costs in the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Statements of Operations. The Fund also paid a financing fee equal to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the 5-year LIBOR swap rate plus 1.00% on the outstanding loan amount</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>payable monthly, which is included in interest expense in the Statements</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Operations.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the six months ended February 28, 2011, the Fund repaid its out-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>standing TALF loans and the Eligible Securities posted as collateral were</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>returned to the Fund. The Fund financed the repayment of the TALF loans</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by entering into reverse repurchase agreements.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since the Fund had the ability to potentially satisfy TALF loan obligations</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by surrendering Eligible Securities, potential losses by the Fund associated</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with the TALF loans were limited to the difference between the amount</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Eligible Securities posted at the time of loan initiation and the loan</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>proceeds received by the Fund.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund elected to account for the outstanding TALF loans at fair value.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund elected to fair value its TALF loans to more closely align changes</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in the value of the TALF loans with changes in the value of the Eligible</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities and to reduce the potential volatility in the Statements of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Operations which could result if only the Eligible Securities were fair valued.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The TALF loans were valued utilizing quotations received from a board</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>approved pricing service. TALF-eligible Asset-Backed Securities/Collateralized</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mortgage-Backed Securities (&#8220;ABS/CMBS&#8221;) value may be affected by his-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>toric defaults and prepayments on the asset pool, expected future defaults</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and prepayments, current interest rate levels, current and forward modeled</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ABS/CMBS spread levels. Accordingly, TALF loan valuation methodologies</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may include, but are not limited to, the following inputs: (i) ABS/CMBS</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prepayment assumptions, (ii) discount rates and (iii) the non-recourse</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>put option valuation. The resulting TALF loan valuation combines the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>present value of the future loan cash flows, plus the value of the non-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recourse option.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2011, the daily weighted average</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest rates for Funds with loans under the revolving credit agreements</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>were as follows:</FONT></P>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Daily Weighted</FONT></B>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Average</FONT></B>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest Rate</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.25%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.24%</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.26%</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>72 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (concluded)</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2011, the daily weighted average</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest rate for BLW for reverse repurchase agreements and TALF loans was</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as follows:</FONT></P>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Daily Weighted</FONT></B>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Average</FONT></B>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest Rate</FONT></B>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.45%</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>10. Subsequent Events:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Management&#8217;s evaluation of the impact of all subsequent events on the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds&#8217; financial statements was completed through the date the financial</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>statements were issued and the following items were noted:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Each Fund paid a net investment income dividend on March 31, 2011 to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shareholders of record on March 15, 2011 as follows:</FONT></P>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common Dividend</FONT></B>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0660</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0635</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0770</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.1000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate and Senior Floating Rate II paid a net investment</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income dividend on March 17, 2011 to shareholders of record on March</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15, 2011 as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="51%"></TD>

   <TD width="48%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common Dividend</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.022941</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate II</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.012695</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Board and shareholders of each of Senior Floating Rate and Senior</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate II (individually, a &#8220;Target Fund&#8221; and collectively the &#8220;Target</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds&#8221;) and the Board and shareholders of Floating Rate Income Portfolio,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a series of BlackRock Funds II (&#8220;Floating Rate Income Portfolio&#8221;), approved</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the reorganizations of each Target Fund into Floating Rate Income Portfolio,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pursuant to which Floating Rate Income Portfolio acquired substantially all</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the assets and assumed substantially all of the liabilities of the Target</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds in exchange for an equal aggregate value of the Floating Rate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income Portfolio shares.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In connection with the acquisition, Floating Rate Income Portfolio is the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>legal surviving entity in the reorganization. Senior Floating Rate is the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accounting or continuing portfolio for purposes of maintaining the financial</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>statements and performance history in the post-reorganization fund.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Each shareholder of the Target Funds received Floating Rate Income</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio&#8217;s shares equal to the net asset value of their Target Fund shares,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as determined at the close of business on March 18, 2011. The Senior</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate&#8217;s Common Shares were exchanged for Floating Rate Income</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio&#8217;s Investor A Shares and the Senior Floating Rate II&#8217;s Common</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares were exchanged for Floating Rate Income Portfolio&#8217;s newly estab-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lished Investor C1 Shares.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The reorganizations were accomplished by a tax-free exchange of shares of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Income Portfolio in the following amounts and at the follow-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing conversion ratios:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="21%"></TD>

   <TD width="22%"></TD>

   <TD width="15%"></TD>

   <TD width="19%"></TD>

   <TD width="21%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares of</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Share Class of</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Prior to&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Conversion</FONT></B>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Reorganization</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp; Ratio&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Income Portfolio&nbsp;&nbsp;&nbsp;&nbsp;Income Portfolio</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rate</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,219,473</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.76034411</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29,059,951</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investor A</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rate II</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,364,443</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.82468294</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,320,160</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investor C1</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Each Target Fund&#8217;s net assets and composition of net assets on March 18,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011, the date of the merger, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="10%"></TD>

   <TD width="20%"></TD>

   <TD width="17%"></TD>

   <TD width="13%"></TD>

   <TD width="19%"></TD>

   <TD width="17%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 9px" colSpan=3 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Undistributed Accumulated</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paid-in</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Realized</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loss</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rate</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$299,965,486&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $496,699,650</FONT>&nbsp;</TD>

   <TD colSpan=3 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$175,714&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$(186,646,731)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(10,263,147)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rate II&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $147,803,130&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $191,685,602</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 65,714</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (39,557,380)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ (4,390,806)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For financial reporting purposes, assets received and shares issued by</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Income Portfolio were recorded at fair value; however, the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cost basis of the investments received from the Target Funds was carried</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>forward to align ongoing reporting of Floating Rate Income Portfolio&#8217;s real-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ized and unrealized gains and losses with amounts distributable to share-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>holders for tax purposes.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The aggregate net assets of Floating Rate Income Portfolio immediately</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>after the acquisition amounted to $773,541,752. Each Target Fund&#8217;s fair</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value and cost of investments prior to the reorganization were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="42%"></TD>

   <TD width="37%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fair Value of</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cost of</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$301,386,890</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$311,208,711</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate II</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$148,276,050</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$153,108,180</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The purpose of these transactions was to combine three funds managed</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the Manager with the same or substantially similar (but not identical)</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment objectives, investment policies, strategies, risks and restrictions.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Each reorganization was a tax-free event and was effective on</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March 21, 2011.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assuming the acquisition had been completed on September 1, 2010, the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>beginning of the annual reporting period of Floating Rate Income Portfolio,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the pro forma results of operations for the six months ended February 28,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011 are as follows:</FONT><BR><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income: $12,617,143</FONT><BR><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and change in unrealized gain/loss on investments:</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$22,898,023</FONT><BR><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase in net assets resulting from operations: $35,515,166</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 73</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Master Portfolio Summary </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of February 28, 2011 <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B><BR><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B></P>

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<TR>

   <TD width="53%"></TD>

   <TD width="31%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Percent of</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Long-Term Investments</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset Mix</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>88%</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>74 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>February 28, 2010 (Unaudited) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="61%"></TD>

   <TD width="20%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common Stocks (a)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GEO Specialty Chemicals, Inc. (b)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,151</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 15,030</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc.</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,206</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>260</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,290</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd. (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>376,109</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,242,664</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Common Stocks &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,257,954</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Air Canada, 9.25%, 8/01/15 (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 900</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>963,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Icahn Enterprises LP, 7.75%, 1/15/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,355,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc., Subordinate Note (c):</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Second Lien), 10.00%, 1/29/19</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,740,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Third Lien), 5.00%, 1/29/19 (d)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,440</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>951,581</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,691,581</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc.:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 5/01/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>110</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>112,131</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 5/01/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>290</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>292,538</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 5/01/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,985</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,014,887</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,419,556</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,501</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,542,278</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Corp., 8.25%, 11/15/15</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,821,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ally Financial, Inc., 2.51%, 12/01/14 (e)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,650</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,586,691</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Issuer, Inc., 6.88%, 2/15/21 (b)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>630</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>631,575</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,218,266</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ITC Deltacom, Inc., 10.50%, 4/01/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>987,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Communications International, Inc.:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 10/01/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,309,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B, 7.50%, 2/15/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>477</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>484,155</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,781,405</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&amp; Components &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CDW LLC, 8.00%, 12/15/18 (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>830</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>892,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smithfield Foods, Inc., 10.00%, 7/15/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>582</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>686,760</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc., 7.25%, 9/15/20</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,695</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,828,481</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MGM Resorts International, 11.13%, 11/15/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,030</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,187,075</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beazer Homes USA, Inc., 12.00%, 10/15/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,673,750</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="65%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#8212; 2.2%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Calpine Construction Finance Co. LP,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 6/01/16 (b)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,270</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,462,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Holdings Corp., 10.00%, 1/15/20 (b)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,457,893</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Intermediate Holding Co. LLC,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 12/01/20</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,650</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,766,208</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NRG Energy, Inc., 7.63%, 1/15/18 (b)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,384,062</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,071,113</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clear Channel Worldwide Holdings, Inc.:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.25%, 12/15/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>735</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>815,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B, 9.25%, 12/15/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,540</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,825,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Germany GmbH, 8.13%, 12/01/17 (b)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,145,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,786,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FMG Resources August 2006 Pty Ltd.,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 11/01/15 (b)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,385</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,436,938</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Novelis, Inc., 8.38%, 12/15/17 (b)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,535</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,692,337</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,129,275</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coffeyville Resources LLC, 9.00%, 4/01/15 (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>484</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>527,560</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc., 7.75%, 5/15/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,825</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,987,437</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#8212; 11.4%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,563,137</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (e)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#8212; 2.2%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DynCorp International, Term Loan, 6.25%, 7/07/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,920</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,935,789</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawker Beechcraft Acquisition Co., LLC:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Linked Deposit, 0.20%, 3/26/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>115</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>102,536</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.26% &#8211; 2.30%, 3/26/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,990</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,778,072</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SI Organization, Inc., New Tranch B Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 11/22/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,975</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,989,813</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Scitor Corp., Term Loan B, 5.75%, 2/01/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,900</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,892,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransDigm, Inc., Term Loan (First Lien), 5.25%, 2/14/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,263,433</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,962,518</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Armored Autogroup, Inc. (FKA Viking Aquisition, Inc.),</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 6.00%, 11/02/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,550</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,557,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UCI International, Inc., Term Loan, 5.50%, 7/06/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>950</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>953,266</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,511,016</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Biotechnology &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Grifols SA, Term Loan B, 6.00%, 10/01/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,821,001</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#8212; 2.6%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Armstrong World Industries, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 5/17/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,200</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,224,728</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CPG International I, Inc., Term Loan B, 6.00%, 2/03/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,200</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,206,886</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goodman Global, Inc., Initial Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 10/13/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,337</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,375,817</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Momentive Performance Materials (Blitz 06-103 GmbH):</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 3.81%, 12/04/13</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>782</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>779,414</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2B Term Loan, 4.36%, 5/05/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>770</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,033,885</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,620,730</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="33%"></TD>

   <TD width="7%"></TD>

   <TD width="22%"></TD>

   <TD width="14%"></TD>

   <TD width="22%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Abbreviations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>To simplify the listings of portfolio holdings in the</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>CAD</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Canadian Dollar</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>GBP</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>British Pound</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Schedule of Investments, the names and descriptions of</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>EUR</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>MSCI</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Morgan Stanley Capital International</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>many of the securities have been abbreviated according</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>FKA</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Formerly Known As</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>USD</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Dollar</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the following list:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 75</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="10%" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (e)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 1.8%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Capital Ltd., Term Loan B, 7.50%, 12/31/13</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>803</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 807,881</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HarbourVest Partners, Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 11/10/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,469</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,481,094</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Co., LLC, Term Loan, 5.31%, 12/15/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>755</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>613,494</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nuveen Investments, Inc.:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.80% &#8211; 5.81%, 5/13/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,491</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,482,007</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non Extended Term Loan (First Lien), 3.30%, 11/13/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,683</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,631,690</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,016,166</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 6.2%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AZ Chem US, Inc., Term Loan B, 6.75%, 11/18/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,781</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,799,030</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chemtura Corp., Term Facility, 5.50%, 8/16/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,519,793</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Chemical Corp., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75% &#8211; 7.25%, 9/30/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,893</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,936,141</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MacDermid, Inc., Tranche C Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.07%, 4/12/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>992</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,324,246</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nexeo Solutions LLC, Term Loan B, 5.00%, 8/31/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,604,667</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PQ Corp. (FKA Niagara Acquisition, Inc.), Original Term</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility (First Lien), 3.52% &#8211; 3.56%, 7/30/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,503</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,462,566</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rockwood Specialties Group, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.75%, 2/01/18</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,952</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,973,106</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia, Inc., Term Loan, 4.50%, 3/17/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,301,642</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Styron Sarl, Term Loan B, 6.00%, 7/27/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,850</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,884,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tronox Worldwide LLC, Exit Term Loan, 7.00%, 12/24/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,375</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,411,444</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Univar, Inc., Term Loan B, 5.00%, 6/30/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,600</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,612,377</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,829,662</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., Tranche 3 Term Loan, 6.25%, 8/11/15</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,840</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,889,098</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#8212; 3.2%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AWAS Finance Luxembourg Sarl, Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 6/10/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>841</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>863,602</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advanced Disposal Services, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 1/14/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,287</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,295,044</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Altegrity, Inc., (FKA US Investigators Services, Inc.)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D Term Loan, 7.75%, 2/21/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,990</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,029,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Casella Waste Systems, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 4/09/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,504</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,503,743</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,350</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,370,142</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Diversey, Inc. (FKA Johnson Diversey, Inc.), Tranche B</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar Term Loan, 5.25%, 11/24/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,373</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,372,665</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Protection One, Inc., Term Loan, 6.00%, 6/04/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,169</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,171,580</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Quad/Graphics, Inc., Term Loan, 5.50%, 4/20/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,122</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,117,037</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synagro Technologies, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.27%, 4/02/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,674</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,487,208</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,210,821</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Communications Equipment &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avaya, Inc., Term Loan B:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.06%, 10/24/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,742</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,688,348</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.81%, 10/24/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,764</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,707,871</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CommScope, Inc., Term Loan B, 5.00%, 1/06/18</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,536,458</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,932,677</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Safway Services, LLC, First Out Tranche Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 12/18/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fairmount Minerals Ltd., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25% &#8211; 6.75%, 8/05/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,355</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,369,658</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Springleaf Financial Funding Co. (FKA AGFS Funding</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Co.), Term Loan, 7.25%, 4/21/15</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,925</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,986,632</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Graham Packaging Co., LP:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 6.75%, 4/05/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>707</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>711,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan D, 6.00%, 9/16/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,194</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,211,352</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,922,852</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="7%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (e)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#8212; 3.1%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Service Corp., Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.26% &#8211; 3.31%, 11/14/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,802</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,501,527</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Laureate Education:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Term Loan, 3.55%, 8/17/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,087</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,043,771</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 3.55%, 8/15/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>313</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>305,980</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series A New Term Loan, 7.00%, 8/15/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,972</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,994,774</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ServiceMaster Co.:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Term Loan, 2.76% &#8211; 2.81%, 7/24/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,828</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,783,707</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.77%, 7/24/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>282</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>277,216</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,906,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 2.0%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MSCI, Inc., Term Loan B, 4.75%, 6/01/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,878</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,887,772</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Holdings, Inc., Term Loan E,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.25%, 2/09/18</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,047</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,073,301</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Whitelabel IV SA (Ontex):</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 6.75%, 8/11/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>565</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>788,938</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B2, 6.75%, 8/11/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>935</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,305,589</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,055,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#8212; 2.2%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawaiian Telcom Communications, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 10/28/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,901</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,933,361</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Integra Telecom Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.25%, 4/15/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,592</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,611,104</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 Financing, Inc.:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Incremental Tranche A Term Loan, 2.55%, 3/13/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,850</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,753,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 11.50%, 3/13/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>455,812</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Telepacific Corp., Term Loan B, 5.75%, 2/18/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,025</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,036,391</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,790,418</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Development Holdings LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 7/03/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,834</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,880,674</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp; Components &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CDW LLC (FKA CDW Corp.):</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Term Loan B, 3.51%, 7/15/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,602</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,602,049</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non Extended Term Loan, 4.26%, 10/10/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,370</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,364,734</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,966,783</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp., Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 4/03/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,461</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,473,889</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#8212; 3.0%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.58%, 7/09/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,925</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,582,646</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bolthouse Farms, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 2/11/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,817</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,828,145</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pilot Travel Centers LLC, Initial Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 6/30/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,875</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,907,730</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rite Aid Corp., Term Loan B, 6.00%, 7/09/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>792</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>792,392</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Foodservice, Inc., Term Loan B, 2.76%, 7/03/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,703</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,609,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,720,413</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#8212; 4.6%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advance Pierre Foods, Term Loan (Second Lien),</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 9/29/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,319</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,348,869</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Del Monte Corp., Term Loan B, 4.50%, 2/01/18</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,500</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,553,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Green Mountain Coffee Roasters, Inc., Term Loan B</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility, 5.50%, 11/09/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,509,845</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michaels Stores, Inc., Term Loan B, 4.25%, 2/28/18</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,739</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,751,173</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pinnacle Foods Finance LLC, Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 4/02/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,149</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,165,646</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solvest, Ltd. (Dole):</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 5.00% &#8211; 5.50, 3/02/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>693</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>697,554</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-1 Term Loan, 5.00% &#8211; 5.50%, 3/02/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,723</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,733,998</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,760,210</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>76 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_79"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="58%"></TD>

   <TD width="11%"></TD>

   <TD width="11%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (e)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DJO Finance LLC (FKA ReAble Therapeutics Finance LLC),</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.26%, 5/20/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,149</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,139,912</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fresenius SE:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-1 Dollar Term Loan, 4.50%, 9/10/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,124</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,129,322</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-2 Term Loan, 4.50%, 9/10/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>601</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>604,167</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,873,401</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 4.2%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.51% &#8211; 2.56%, 7/25/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>186</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>184,533</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Term Loan, 3.76% &#8211; 3.81%, 1/25/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>841</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>843,052</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non Extended Term Loan, 2.51% &#8211; 2.56%, 7/25/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,612</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,582,465</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/20/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,900</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,908,708</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,517,840</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc., Tranche B2 Term Loan, 3.55%, 3/31/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100,265</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>inVentiv Health, Inc. (FKA Ventive Health, Inc.):</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 4.75%, 7/31/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,219</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,237,858</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B2, 4.75%, 8/04/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>217</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>217,614</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B2, 6.50%, 8/04/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>433</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>434,958</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Renal Advantage Holdings, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 12/03/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,900</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,926,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vanguard Health Holding Co. II, LLC (Vanguard Health</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Systems, Inc.), Initial Term Loan, 5.00%, 1/29/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,793</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,811,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,764,868</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Health, Inc., Tranche B Dollar Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 2/26/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,437</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,465,697</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MedAssets, Inc., Term Loan B, 5.25%, 11/15/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,900</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,914,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,379,947</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 6.7%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boyd Gaming Corp., Term Loan A, 3.81%, 12/31/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>987,920</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dunkin&#8217; Brands, Inc., Term Loan B, 4.25%, 11/09/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,600</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,624,728</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gateway Casinos &amp; Entertainment, Ltd., Term Loan B,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50% &#8211; 7.50%, 5/12/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,244</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,320,204</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrah&#8217;s Operating Co., Inc.:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 3.30%, 1/28/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>464,236</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 3.30%, 1/28/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>463,215</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 3.30%, 1/28/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,556</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,800,871</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-4, 9.50%, 10/31/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>645</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>683,521</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Seaworld Parks &amp; Entertainment, Inc. (FKA SW</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acquisitions Co., Inc.), Term B Loan, 4.00%, 8/17/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,815</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,822,948</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Six Flags Theme Parks, Inc., Tranche B Term Loan</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 5.50%, 6/30/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,048</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,082,014</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Travelport LLC (FKA Travelport, Inc.), Extended Delayed</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Draw Term Loan, 4.96%, 8/21/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>791</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>768,493</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Universal City Development Partners Ltd., Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 11/16/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,836</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,854,069</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>VML US Finance LLC (FKA Venetian Macau):</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Delayed Draw Project Loan, 4.79%, 5/25/12</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>319</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>319,361</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Funded Project Loan, 4.79%, 5/27/13</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,887</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,889,548</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30,081,128</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Visant Corp. (FKA Jostens), Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 12/20/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,644</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,664,783</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#8212; 3.7%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ceridian Corp., US Term Loan, 3.26%, 11/09/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,369</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,332,835</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>422</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425,440</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp.:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan, 3.01%, 9/24/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,495</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,308,734</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.01%, 9/24/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,688</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,385,054</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.01%, 9/24/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,424</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,294,258</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransUnion LLC, Replacement Term Loan, 4.75%, 2/03/18</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,985</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,001,417</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,747,738</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="65%"></TD>

   <TD width="5%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (e)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Texas Competitive Electric Holdings Co., LLC (TXU):</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.76% &#8211; 3.80%, 10/10/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,080</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,596,011</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.76% &#8211; 3.80%, 10/10/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,115</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>937,253</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,533,264</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp., Term Loan, 3.56%, 12/03/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,880</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,860,282</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tomkins Plc, Term Loan A, 4.25%, 9/16/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,453</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,481,771</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,342,053</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CNO Financial Group, Inc., Term Loan, 7.50%, 9/30/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,100</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,118,082</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navistar Financial Corp., Term Loan B, 4.55%, 12/16/12</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,295,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Marine &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Horizon Lines, LLC:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolving Loan, 3.31%, 8/08/12</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>768</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>713,873</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.31%, 8/08/12</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>418</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>399,318</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,113,191</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 16.2%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acosta, Inc., Term Loan, 4.75%, 2/03/18</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,900</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,921,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group, Inc., Tranche B Term Loan:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 10/09/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,208</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,214,248</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 10/31/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,505,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Atlantic Broadband Finance, LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 11/12/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,207</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,206,271</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bresnan Telecommunications Co. LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 11/30/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,825</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,848,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc. (Thomson Learning):</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.55%, 7/03/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,239</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,079,022</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche 1 Incremental Term Loan, 7.50%, 7/03/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,273</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,278,335</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Charter Communications Operating, LLC:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 7.25%, 3/06/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>559</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>564,058</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 3.56%, 9/06/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,035</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,039,668</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clarke American Corp., Term Facility B, 2.80%, 6/30/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,775</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,693,586</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FoxCo Acquisition Sub, LLC, Term Loan, 7.50%, 7/14/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,539</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,536,486</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Getty Images, Inc., Initial Term Loan, 5.25%, 10/29/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,391</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,432,836</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Publishing Co., Ltd., Tranche A Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.01%, 6/12/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,714</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,577,372</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Jackson Holdings S.A. (FKA Intelsat Jackson</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Holdings, Ltd.), Tranche B Term Loan, 5.25%, 3/07/18</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,500</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,557,111</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interactive Data Corp., Term Loan, 4.75%, 2/08/18</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,350</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,377,517</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Knology, Inc., Term Loan B:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 9/27/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>252,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.00%, 8/31/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,450</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,459,062</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mediacom Illinois, LLC (FKA Mediacom</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Communications, LLC), Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 3/31/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,481</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,490,508</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Newsday, LLC, Floating Rate Term Loan, 6.55%, 8/01/13</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,540,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A Dollar Term Loan, 2.26%, 8/09/13</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>67</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>66,523</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class B Dollar Term Loan, 4.01%, 5/01/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,462</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,478,093</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sinclair Television Group, Inc., New Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 10/29/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,841</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,860,852</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Springer Science+Business Media SA, Facility A1,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 7/01/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,400</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,738,774</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunshine Acquisition Ltd. (FKA HIT Entertainment),</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 5.56%, 6/01/12</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,146</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,100,469</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Broadband Holding B.V., Term U, 4.88%, 12/31/17 EUR</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,816</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,497,701</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Univision Communications, Inc., Extended First Lien</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.52%, 3/31/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,243</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,153,421</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Investment Holdings Ltd., Facility B,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.53%, 12/31/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,876,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Weather Channel, Term Loan B, 4.25%, 2/01/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,100</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,128,675</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yell Group Plc/Yell Finance (UK) Ltd., Facility A3,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.76%, 8/09/11</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,477</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,432,266</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>72,908,229</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 77</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_80"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (e)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euramax International, Inc., Domestic Term Loan:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 6/29/13</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>825</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 793,714</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.00%, 6/29/13</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>803</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>772,760</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Novelis Corp., Term Loan, 5.25%, 12/01/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,755,394</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,321,868</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mach Gen, LLC, Synthetic Letter of Credit Loan</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 0.05%, 2/22/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63,811</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hema Holding BV:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B, 2.91%, 7/06/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>861</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,177,863</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C, 3.66%, 7/05/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>861</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,177,863</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Neiman Marcus Group, Inc., Tranche B-2 Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.30%, 4/06/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,112</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,121,572</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,477,298</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EquiPower Resources Holdings, LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 1/11/18</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,813,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Georgia-Pacific LLC, Term Loan B, 2.30%, 12/23/12</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,982</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Personal Products &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NBTY, Inc., Term Loan B:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 9/20/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,818,374</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 10/01/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,568,374</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Axcan Intermediate Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 2/03/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,804,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Corp.:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Additional Term Loan Corp. B-3, 6.25%, 4/30/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>769</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>773,931</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan B, 6.25%, 4/30/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>554</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>557,513</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A, 6.00%, 10/30/14</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,284</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,284,934</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 6.25%, 4/30/15</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>333</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>334,872</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 6.50%, 2/20/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>144,236</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,899,986</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Professional Services &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Booz Allen Hamilton, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.00%, 8/01/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,625</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,659,437</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fifth Third Processing Solutions, LLC, Term Loan B</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 5.50%, 10/21/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,217,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,876,487</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#8212; 1.6%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mattamy Funding Partnership, Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.56%, 4/11/13</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>387</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>369,884</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realogy Corp.:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 4.56%, 10/16/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,818</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,538,538</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 4.51%, 10/16/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>355</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>340,482</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,248,904</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Road &amp; Rail &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transtar Industries, Term Loan (First Lien), 6.25%, 12/07/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>812,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Freescale Semiconductor, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.51%, 12/01/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,299</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,296,294</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Microsemi Corp., Term Loan B, 5.00%, 10/25/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,704,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000,544</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rovi Corp., Term Loan B, 4.00%, 2/01/18</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,250</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,262,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Telcordia Technologies, Inc., Term Loan, 6.75%, 4/30/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,186</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,192,684</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vertafore, Inc., New Term Loan B, 5.25%, 7/29/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,075</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,083,062</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,538,246</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="16%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (e)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#8212; 2.9%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Burlington Coat Factory Warehouse Corp., Term Loan B,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 2/18/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 1,000</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,003,335</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gymboree Corp., Term Loan B, 5.00%, 2/11/18</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,755,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J. Crew Group, Inc., Term Loan B, 5.25%, 2/01/18</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,450</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,450,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michaels Stores, Inc., Term Loan B-2,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.81% &#8211; 4.87%, 7/31/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>963</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>970,387</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Petco Animal Supplies, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 11/24/17</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,300</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,300,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Toys &#8216;R&#8217; Us Delaware, Inc., Initial Loan, 6.00%, 8/17/16</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,726</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,746,322</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,225,294</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Philips Van Huesen Corp., US Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 5/06/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,317</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,320,991</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Floating Rate Loan Interests &#8212; 88.6%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>399,118,887</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beneficial</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Interests (f)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J.G. Wentworth LLC Preferred Equity Interests (g)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,022,221</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Other Interests &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,022,221</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Warrants (h)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Vision Holdings LLC:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Expires 9/30/14)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,419</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>74</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Expires 9/30/14)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41,217</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>412</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Warrants &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $463,120,768) &#8212; 100.7%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>453,962,685</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund, Institutional</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class, 0.15% (i)(j)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47,230,155</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47,230,155</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $47,230,155) &#8212; 10.5%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47,230,155</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments (Cost &#8212; $510,350,923*) &#8212; 111.2%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>501,192,840</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#8212; (11.2)%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(50,520,804)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets &#8212; 100.0%</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$450,672,036</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* The cost and unrealized appreciation (depreciation) of investments as of February 28,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011, as computed for federal income tax purposes, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="57%"></TD>

   <TD width="42%"></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 505,669,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12,071,513</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16,548,423)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (4,476,910)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>78 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a) Non-income producing security.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) Convertible security.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) Represents a payment-in-kind security which may pay interest/dividends in</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional par/shares.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Variable rate security. Rate shown is as of report date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Other interests represent beneficial interest in liquidation trusts and other reorgani-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>zation entities and are non-income producing.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) The investment is held by a wholly owned taxable subsidiary of the Master LLC.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) Warrants entitle the Master LLC to purchase a predetermined number of shares of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>common stock and are non-income producing. The purchase price and number of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shares are subject to adjustment under certain conditions until the expiration date,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if any.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(i) Investments in companies considered to be an affiliate of the Master LLC during the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amended, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="16%"></TD>

   <TD width="29%"></TD>

   <TD width="16%"></TD>

   <TD width="26%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Affiliate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31, 2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Activity</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds, TempFund,</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23,631,517</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,598,638</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47,230,155</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;$23,199</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(j) Represents the current yield as of report date.<BR></FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of February 28, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="6%"></TD>

   <TD width="14%"></TD>

   <TD width="6%"></TD>

   <TD width="16%"></TD>

   <TD width="22%"></TD>

   <TD width="13%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Settlement</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Purchased</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Sold</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,808,329</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,784,500</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (54,881)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>762,450</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>472,500</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,350)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,074,055</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,534,500</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(294,384)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13,602,662</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,945,000</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Royal Bank</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Scotland</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/27/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(111,099)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (465,714)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif><BR>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For Master LLC compliance purposes, the Master LLC&#8217;s industry classifications refer</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to any one or more of the industry sub-classifications used by one or more widely</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recognized market indexes or rating group indexes, and/or as defined by Master LLC</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>management. This definition may not apply for purposes of this report, which may</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>combine such industry sub-classifications for reporting ease.</FONT><BR><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fair Value Measurements &#8212; Various inputs are used in determining the fair value of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments and derivatives. These inputs are summarized in three broad levels for</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial statement purposes as follows:</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#8212; price quotations in active markets/exchanges for identical assets</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and liabilities</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2 &#8212; other observable inputs (including, but not limited to: quoted prices for</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>similar assets or liabilities in markets that are active, quoted prices for identical</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or similar assets or liabilities in markets that are not active, inputs other than</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quoted prices that are observable for the assets or liabilities (such as interest</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default rates) or other market-corroborated inputs)</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 &#8212; unobservable inputs based on the best information available in the cir-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cumstances, to the extent observable inputs are not available (including the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC&#8217;s own assumptions used in determining the fair value of investments</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and derivatives)</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodologies used for valuing securities are not necessarily an</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>indication of the risk associated with investing in those securities. For information</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>about the Master LLC&#8217;s policy regarding valuation of investments and derivatives</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and other significant accounting policies, please refer to Note 1 of the Notes to</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of February 28, 2011 in deter-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mining the fair valuation of the Master LLC&#8217;s investments and derivatives:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="25%"></TD>

   <TD width="18%"></TD>

   <TD width="18%"></TD>

   <TD width="20%"></TD>

   <TD width="16%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments in</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Stocks .</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,242,664</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 15,290&nbsp;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,257,954</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48,871,556</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,691,581</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,563,137</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan Interests .</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>364,737,402</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,381,485&nbsp; 399,118,887</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,022,221</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,022,221</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warrants</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Short Term</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$47,230,155</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47,230,155</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitments</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>95,389</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>95,389</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitments</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,318)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,318)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$47,230,155</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$414,947,011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$39,107,745&nbsp; $501,284,911</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=5 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Derivative Financial Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B></TD></TR>

<TR>

   <TD colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212; </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT style="BACKGROUND-COLOR: #f1f1f2" color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>(465,714)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212; </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT style="BACKGROUND-COLOR: #f1f1f2" color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>(465,714)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivative financial instruments are foreign currency exchange contracts.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts are valued at the unrealized appreciation/</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>depreciation on the instrument.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 79</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded) </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="37%"></TD>

   <TD width="16%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Stocks</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan Interests&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interests</FONT></B>&nbsp;&nbsp; </TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Warrants</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2010</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 15,290</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,963,527</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 48,595,625&nbsp;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,022,221</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 486</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 56,597,149</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>102,408</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>264,686</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>367,094</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>963,249</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>92,694</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,055,943</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>560,730</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,874,032</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,434,762</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>59,188</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,453,984</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,513,172</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sales</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,957,521)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(41,785,384)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(46,742,905)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers in</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,564,547</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,564,547</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers out</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,678,699)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,678,699)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance as of February 28, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 15,290</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,691,581</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 34,381,485</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,022,221</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 486</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 39,111,063</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in the unrealized appreciation/depreciation on securities</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>still held on February 28, 2011 was $735,928.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC&#8217;s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following is a reconciliation of Level 3 derivative financial instruments for which</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>significant unobservable inputs were used in determining fair value:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="70%"></TD>

   <TD width="29%"></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitments</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2010</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (142,101)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>138,783</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sales</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers in</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers out</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance as of February 28, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (3,318)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Included in the related net change in unrealized appreciation/depreciation in the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Statement of Operations. The change in the unrealized appreciation/depreciation</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on securities still held on February 28, 2011 was $138,783.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC&#8217;s policy is to recognize transfers in and transfers out as of the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>end of the period of the event or the change in circumstances that caused</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the transfer.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>80 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statement of Assets and Liabilities </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="37%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2011 (Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at value &#8212; unaffiliated (cost &#8212; $463,120,768)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 453,962,685</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at value &#8212; affiliated (cost &#8212; $47,230,155)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47,230,155</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on unfunded loan commitments</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>95,389</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency at value &#8212; (cost &#8212; $1,509,278)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,531,372</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments sold receivable</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,467,516</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest receivable</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,762,615</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Contributions receivable from investors</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>812,675</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Principal paydowns receivable</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,632</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitment fees receivable</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,227</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Prepaid expenses</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,895</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>116</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>519,887,277</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>465,714</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on unfunded loan commitments</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,318</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments purchased payable</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>68,101,287</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment advisory fees payable</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>324,253</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deferred income</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>174,078</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other affiliates payable</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Directors' fees payable</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>489</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other accrued expenses payable</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>142,502</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total liabilities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69,215,241</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 450,672,036</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets Consist of</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investors' capital</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 460,178,725</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation/depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,506,689)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 450,672,036</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 81</FONT></P>

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<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statement of Operations </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="60%"></TD>

   <TD width="39%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended February 28, 2011 (Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Income</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12,665,823</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility and other fees</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>329,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends &#8212; affiliated</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,199</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,018,122</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment advisory</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,103,830</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Professional</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>81,357</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accounting services</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>58,119</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Custodian</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,190</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Directors</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,286</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfer agent</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,413</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Printing</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,401</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Miscellaneous</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,304,796</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Less fees waived by advisor</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,321)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,296,475</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,721,647</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Realized and Unrealized Gain (Loss)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss) from:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,912,157</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency transactions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,609,103)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,303,054</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation on:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,818,772</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency transactions</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(384,173)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded loan commitements</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>234,172</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,668,771</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total realized and unrealized gain</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,971,825</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Increase in Net Assets Resulting from Operations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 29,693,472</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Changes in Net Assets </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="55%"></TD>

   <TD width="33%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Increase (Decrease) in Net Assets:</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10,721,647</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24,058,880</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,303,054</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(24,674,495)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,668,771</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,531,816</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase in net assets resulting from operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29,693,472</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,916,201</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Transactions</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Proceeds from contributions</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,507,852</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35,429,443</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Value of withdrawals</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(47,916,468)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(99,242,421)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net decrease in net assets derived from capital transactions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(29,408,616)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(63,812,978)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total increase (decrease) in net assets</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>284,856</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12,896,777)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450,387,180</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>463,283,957</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 450,672,036</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 450,387,180</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>82 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



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<P style="text-align: left;">
<FONT color="#394c87" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Statement of Cash Flows </FONT><B><FONT color="#394c87" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Master Senior Floating Rate LLC</FONT></B></P>
<DIV align="left">
<TABLE border=0 cellspacing=0>
<TR>
     <TD width=78%></TD>
     <TD width=21%></TD></TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Six Months Ended February 28, 2011 (Unaudited)</FONT></B>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;" style="TEXT-INDENT:3.000000px">
<B><FONT color="#394c87" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Cash Provided by Operating Activities</FONT></B>&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Net increase in net assets resulting from operations</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">&#36; 29,693,472</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=left>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left style="TEXT-INDENT:2.000000px">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Decrease in interest receivable</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">1,277,652</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left style="TEXT-INDENT:2.000000px">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Increase in other assets</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(116)</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left style="TEXT-INDENT:2.000000px">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Increase in commitment fees receivable</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(55)</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left style="TEXT-INDENT:2.000000px">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Decrease in investment advisory fees payable</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(35,994)</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left style="TEXT-INDENT:2.000000px">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Increase in other affiliates payable</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">2,180</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left style="TEXT-INDENT:2.000000px">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Decrease in other liabilities</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(19,041)</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left style="TEXT-INDENT:2.000000px">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Decrease in other accrued expenses payable</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(67,474)</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left style="TEXT-INDENT:2.000000px">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Decrease in Directors&#146; fees payable</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(11)</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left style="TEXT-INDENT:2.000000px">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Net realized and unrealized loss on investments</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(20,310,456)</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left style="TEXT-INDENT:2.000000px">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Amortization of premium and accretion of discount on investments</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(1,969,537)</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left style="TEXT-INDENT:2.000000px">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Paid-in-kind income</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(155,037)</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Proceeds from sales and paydowns of long-term investments</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">292,071,722</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Purchases of long-term investments</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(246,762,545)</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Net sales of short-term securities</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(23,107,159)</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Cash provided by operating activities</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right style="border-bottom:3px double #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">30,617,601</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;" style="TEXT-INDENT:3.000000px">
<B><FONT color="#394c87" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Cash Used for Financing Activities</FONT></B>&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Cash receipts from contributions</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">18,673,960</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Cash payments on withdrawals</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(47,916,468)</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Cash used for financing activities</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right style="border-bottom:3px double #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(29,242,508)</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;" style="TEXT-INDENT:3.000000px">
<B><FONT color="#394c87" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Cash Impact from Foreign Exchange Fluctuations</FONT></B>&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Cash impact from foreign exchange fluctuations</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right style="border-bottom:3px double #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">25,133</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;" style="TEXT-INDENT:3.000000px">
<B><FONT color="#394c87" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Cash</FONT></B>&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Net increase in cash</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">1,400,226</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Cash and foreign currency at beginning of period</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">131,146</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#f1f1f2" align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Cash and foreign currency at end of period</FONT>&nbsp;</TD>
	<TD bgcolor="#f1f1f2" align=right style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">&#36; 1,531,372</FONT>&nbsp;</TD>
</TR>
</TABLE>
</DIV>
<P style="MARGIN:0px">&nbsp;</P>
<P style="text-align: left;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">See Notes to Financial Statements.</FONT><BR>
<BR>
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">SEMI-ANNUAL REPORT FEBRUARY 28, 2011 83</FONT></P>

<HR noshade align="center" width="100%" size=2><DIV STYLE="page-break-before: always"></div>


<!--$$/page=--><A name="page_86"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="41%"></TD>

   <TD width="14%"></TD>

   <TD width="8%"></TD>

   <TD width="11%"></TD>

   <TD width="6%"></TD>

   <TD width="2%"></TD>

   <TD width="6%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=8 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=8 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 colSpan=8 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended August 31,</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2006</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment return</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.90%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.67%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.23)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.08)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.49%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.37%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.08%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.05%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.07%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.05%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and excluding interest expense</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.07%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.02%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.03%</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.84%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.29%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.44%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.41%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.07%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.22%</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

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   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets, end of year (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 450,672</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 450,387</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 463,284&nbsp;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$588,748</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 758,328</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 925,910</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>108%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average loan outstanding during the year (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,044</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 420</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,255</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,932</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT>&nbsp;</TD>

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   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT>&nbsp;</TD>

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   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>84 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Unaudited) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>1. Organization and Significant Accounting Policies:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC (the &#8220;Master LLC&#8221;) is registered under the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment Company Act of 1940, as amended (the &#8220;1940 Act&#8221;), and is</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>organized as a Delaware limited liability company. The Limited Liability</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Company Agreement permits the Board of Directors (the &#8220;Board&#8221;) to issue</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>non transferable interests in the Master LLC, subject to certain limitations.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC&#8217;s financial statements are prepared in conformity with</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accounting principles generally accepted in the United States of America</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(&#8220;US GAAP&#8221;), which may require management to make estimates and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assumptions that affect the reported amounts and disclosures in the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial statements. Actual results could differ from those estimates.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>On September 2, 2010, the Board of each of Senior Floating Rate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Senior Floating Rate II (the "Senior Floating Rate Funds") and on</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>September 17, 2010 the Board of Trustees of BlackRock Funds II approved</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the reorganization of each Senior Floating Rate Fund into the BlackRock</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Income Portfolio, a series of BlackRock Funds II, with the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Portfolio being the surviving fund</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(the &#8220;Reorganizations&#8221;).</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Each Senior Floating Rate Fund is a "feeder" fund that invests all of its</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets in the Master LLC. In connection with the Reorganizations, the Board</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the Master LLC approved the liquidation and dissolution of the Master</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC and the distribution of its assets.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following is a summary of significant accounting policies followed by</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Valuation: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US GAAP defines fair value as the price the Master LLC would</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>receive to sell an asset or pay to transfer a liability in an orderly transaction</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between market participants at the measurement date. The Master LLC fair</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>values its financial instruments at market value using independent dealers</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or pricing services under policies approved by the Board. The Master LLC</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>values its bond investments on the basis of last available bid prices or cur-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rent market quotations provided by dealers or pricing services. Floating rate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan interests are valued at the mean of the bid prices from one or more</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>brokers or dealers as obtained from a pricing service. In determining the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value of a particular investment, pricing services may use certain informa-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion with respect to transactions in such investments, quotations from deal-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ers, pricing matrixes, market transactions in comparable investments,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>various relationships observed in the market between investments and cal-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>culated yield measures. Investments in open-end registered investment</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>companies are valued at net asset value each business day. Short-term</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities with remaining maturities of 60 days or less may be valued at</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amortized cost, which approximates fair value.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Equity investments traded on a recognized securities exchange or the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NASDAQ Global Market System (&#8220;NASDAQ&#8221;) are valued at the last reported</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sale price that day or the NASDAQ official closing price, if applicable. For</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>equity investments traded on more than one exchange, the last reported</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sale price on the exchange where the stock is primarily traded is used.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Equity investments traded on a recognized exchange for which there were</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>no sales on that day are valued at the last available bid price. If no bid<BR></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>price is available, the prior day&#8217;s price will be used, unless it is determined</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that such prior day&#8217;s price no longer reflects the fair value of the security.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities and other assets and liabilities denominated in foreign curren-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cies are translated into US dollars using exchange rates determined as of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the close of business on the New York Stock Exchange (&#8220;NYSE&#8221;). Foreign</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts are valued at the mean between the bid and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ask prices and are determined as of the close of business on the NYSE.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interpolated values are derived when the settlement date of the contract</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is an interim date for which quotations are not available.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In the event that application of these methods of valuation results in a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>price for an investment which is deemed not to be representative of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market value of such investment or is not available, the investment will</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be valued in accordance with a policy approved by the Board as reflecting</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fair value (&#8220;Fair Value Assets&#8221;). When determining the price for Fair Value</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets, the investment advisor and/or the sub-advisor seeks to determine</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the price that the Master LLC might reasonably expect to receive from the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>current sale of that asset in an arm&#8217;s-length transaction. Fair value det-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>erminations shall be based upon all available factors that the investment</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>advisor and/or sub-advisor deems relevant. The pricing of all Fair Value</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets is subsequently reported to the Board or a committee thereof.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Generally, trading in foreign instruments is substantially completed</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each day at various times prior to the close of business on the NYSE.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Occasionally, events affecting the values of such instruments may occur</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between the foreign market close and the close of business on the NYSE</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that may not be reflected in the computation of the Master LLC&#8217;s net</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets. If events (for example, a company announcement, market volatility</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or a natural disaster) occur during such periods that are expected to mate-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rially affect the value of such instruments, those instruments may be Fair</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Value Assets and be valued at their fair value, as determined in good faith</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the investment advisor using a pricing service and/or policies approved</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the Board.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Foreign Currency Transactions: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC&#8217;s books and records are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>maintained in US dollars. Purchases and sales of investment securities are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recorded at the rates of exchange prevailing on the date the transactions</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are entered into. Generally, when the US dollar rises in value against a for-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>eign currency, the Master LLC&#8217;s investments denominated in that currency</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>will lose value because its currency is worth fewer US dollars; the opposite</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>effect occurs if the US dollar falls in relative value.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC reports realized currency gains (losses) on foreign currency</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>related transactions as components of net realized gain (loss) for financial</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reporting purposes, whereas such components are treated as ordinary</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income for federal income tax purposes.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC may invest in floating rate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan interests. The floating rate loan interests the Master LLC holds are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>typically issued to companies (the &#8220;borrower&#8221;) by banks, other financial</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutions, and privately and publicly offered corporations (the &#8220;lender&#8221;).</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating rate loan interests are generally non-investment grade, often</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>involve borrowers whose financial condition is troubled or uncertain and</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>companies that are highly leveraged. The Master LLC may invest in obliga-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions of borrowers who are in bankruptcy proceedings. Floating rate loan</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interests may include fully funded term loans or revolving lines of credit.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating rate loan interests are typically senior in the corporate capital</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>structure of the borrower. Floating rate loan interests generally pay interest</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>at rates that are periodically determined by reference to a base lending</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate plus a premium. The base lending rates are generally the lending rate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>offered by one or more European banks, such as LIBOR (London Inter Bank</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Offered Rate), the prime rate offered by one or more US banks or the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>certificate of deposit rate. Floating rate loan interests may involve foreign</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrowers, and investments may be denominated in foreign currencies.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC considers these investments to be investments in debt</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities for purposes of its investment policies.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>When the Master LLC buys a floating rate loan interest it may receive a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>facility fee and when it sells a floating rate loan interest it may pay a facility</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fee. On an ongoing basis, the Master LLC may receive a commitment fee</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on the undrawn portion of the underlying line of credit amount of a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>floating rate loan interest. The Master LLC earns and/or pays facility and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other fees on floating rate loan interests, which are shown as facility and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other fees in the Statement of Operations. Facility and commitment fees</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are typically amortized to income over the term of the loan or term of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>commitment, respectively. Consent and amendment fees are recorded to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income as earned. Prepayment penalty fees, which may be received by the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC upon the prepayment of a floating rate loan interest by a bor-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rower, are recorded as realized gains. The Master LLC may invest in multiple</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>series or tranches of a loan. A different series or tranche may have varying</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>terms and carry different associated risks.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating rate loan interests are usually freely callable at the borrower&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>option. The Master LLC may invest in such loans in the form of participa-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions in loans (&#8220;Participations&#8221;) or assignments (&#8220;Assignments&#8221;) of all or a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>portion of loans from third parties. Participations typically will result in the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC having a contractual relationship only with the lender, not with</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the borrower. The Master LLC will have the right to receive payments of prin-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cipal, interest and any fees to which it is entitled only from the lender sell-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing the Participation and only upon receipt by the lender of the payments</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>from the borrower. In connection with purchasing Participations, the Master</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC generally will have no right to enforce compliance by the borrower</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with the terms of the loan agreement, nor any rights of offset against the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrower, and the Master LLC may not benefit directly from any collateral</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>supporting the loan in which it has purchased the Participation. As a result,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC will assume the credit risk of both the borrower and the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lender that is selling the Participation. The Master LLC&#8217;s investment in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan participation interests involves the risk of insolvency of the financial</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>intermediaries who are parties to the transactions. In the event of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>insolvency of the lender selling the Participation, the Master LLC may be</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>treated as general creditors of the lender and may not benefit from any</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>offset between the lender and the borrower. Assignments typically result in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC having a direct contractual relationship with the borrower,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and the Master LLC may enforce compliance by the borrower with the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>terms of the loan agreement.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Segregation and Collateralization: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In cases in which the 1940 Act and the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interpretive positions of the Securities and Exchange Commission (&#8220;SEC&#8221;)</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>require that the Master LLC either delivers collateral or segregates assets in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>connection with certain investments (e.g., foreign currency exchange con-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tracts), the Master LLC will, consistent with SEC rules and/or certain inter-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pretive letters issued by the SEC, segregate collateral or designate on its</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>books and records cash or other liquid securities having a market value at</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>least equal to the amount that would otherwise be required to be physi-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cally segregated. Furthermore, based on requirements and agreements with</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>certain exchanges and third party broker-dealers, each party has require-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments to deliver/deposit securities as collateral for certain investments.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Investment Transactions and Investment Income: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For financial reporting</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>purposes, investment transactions are recorded on the dates the transac-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions are entered into (the trade dates). Realized gains and losses on</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment transactions are determined on the identified cost basis.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividend income is recorded on the ex-dividend dates. Dividends from for-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>eign securities where the ex-dividend date may have passed are subse-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quently recorded when the Master LLC is informed of the ex-dividend date.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest income, including amortization and accretion of premiums and dis-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counts on debt securities, is recognized on the accrual basis. Consent fees</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are compensation for agreeing to changes in the terms of debt instruments</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and are included in facility and other fees in the Statement of Operations.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Income Taxes: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC is classified as a partnership for federal</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income tax purposes. As such, each investor in the Master LLC is treated</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as the owner of its proportionate share of net assets, income, expenses</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and realized and unrealized gains and losses of the Master LLC. Therefore,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>no federal income tax provision is required. It is intended that the Master</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC&#8217;s assets will be managed so an investor in the Master LLC can satisfy</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the requirements of Subchapter M of the Internal Revenue Code of 1986,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as amended.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC files US federal and various state and local tax returns. No</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income tax returns are currently under examination. The statute of limita-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions on the Master LLC&#8217;s US federal tax returns remains open for each of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the four years ended August 31, 2010. The statutes of limitations on the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC&#8217;s state and local tax returns may remain open for an additional</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>year depending upon the jurisdiction. Management does not believe there</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are any uncertain tax positions that require recognition of a tax liability.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Other: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expenses directly related to the Master LLC are charged to the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC. Other operating expenses shared by several funds are pro</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rated among those funds on the basis of relative net assets or other</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>appropriate methods. The Master LLC has an arrangement with the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>custodian whereby fees may be reduced by credits earned on uninvested</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cash balances, which if applicable are shown as fees paid indirectly in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Statement of Operations. The custodian imposes fees on overdrawn</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cash balances, which can be offset by accumulated credits earned or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may result in additional custody charges.</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>2. Derivative Financial Instruments:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC engages in various portfolio investment strategies using</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>derivative contracts both to increase the returns of the Master LLC and to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>economically hedge, or protect, its exposure to certain risks such as credit</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risk and foreign currency exchange rate risk. These contracts may be trans-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>acted on an exchange or over&#8211;the-counter (&#8220;OTC&#8221;).</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Losses may arise if the value of the contract decreases due to an unfavor-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>able change in the market rates or values of the underlying instrument or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if the counterparty does not perform under the contract. The Master LLC&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>maximum risk of loss from counterparty credit risk on OTC derivatives is</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>generally the aggregate unrealized gain netted against any collateral</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pledged by/posted to the counterparty.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC may mitigate counterparty risk by procuring collateral and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>through netting provisions included within an International Swaps and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivatives Association, Inc. (&#8220;ISDA&#8221;) Master Agreement implemented</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between the Master LLC and each of its respective counterparties. The</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ISDA Master Agreement allows the Master LLC to offset with each separate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparty certain derivative financial instrument&#8217;s payables and/or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>receivables with collateral held. The amount of collateral moved to/from</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>applicable counterparties is generally based upon minimum transfer</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amounts of up to $500,000. To the extent amounts due to the Master LLC</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>from its counterparties are not fully collateralized contractually or other-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>wise, the Master LLC bears the risk of loss from counterparty non-perfor-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mance. See Note 1 &#8220;Segregation and Collateralization&#8221; for information</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with respect to collateral practices. In addition, the Master LLC manages</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparty risk by entering into agreements only with counterparties</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that it believes have the financial resources to honor its obligations and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by monitoring the financial stability of those counterparties.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain ISDA Master Agreements allow counterparties to OTC derivatives</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to terminate derivative contracts prior to maturity in the event the Master</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC&#8217;s net assets decline by a stated percentage or the Master LLC fails</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to meet the terms of its ISDA Master Agreements, which would cause</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC to accelerate payment of any net liability owed to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the counterparty.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Foreign Currency Exchange Contracts: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC enters into foreign</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts as an economic hedge against either specific</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transactions or portfolio instruments or to obtain exposure to foreign cur-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rencies (foreign currency exchange rate risk). A foreign currency exchange</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contract is an agreement between two parties to buy and sell a currency at</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a set exchange rate on a future date. Foreign currency exchange contracts,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>when used by the Master LLC, help to manage the overall exposure to the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency backing some of the investments held by the Master LLC. The<BR></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contract is marked-to-market daily and the change in market value is</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recorded by the Master LLC as an unrealized gain or loss. When the con-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tract is closed, the Master LLC records a realized gain or loss equal to the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>difference between the value at the time it was opened and the value at</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the time it was closed. The use of foreign currency exchange contracts</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>involves the risk that the value of a foreign currency exchange contract</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>changes unfavorably due to movements in the value of the referenced</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>foreign currencies and the risk that a counterparty to the contract does</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>not perform its obligations under the agreement.</FONT></P>

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<TR>

   <TD width="34%"></TD>

   <TD width="40%"></TD>

   <TD width="24%"></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Derivative Instruments Categorized by Risk Exposure</FONT></B></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fair Values of Derivative Instruments as of February 28, 2011</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liability Derivatives</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Statement of Assets</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>and Liabilities Location</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on foreign currency</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 465,714</FONT>&nbsp;</TD></TR>

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   <TD bgColor=#f1f1f2 colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>The Effect of Derivative Instruments in the Statement of Operations</FONT></B>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended February 28, 2011</FONT></B></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Realized Loss from</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Foreign Currency</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Transactions</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (1,576,013)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Change in Unrealized Appreciation/Depreciation on</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Foreign Currency</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Transactions</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (396,808)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2011, the average quarterly</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>balances of outstanding derivative financial instruments were as follows:</FONT></P>

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   <TD width="74%"></TD>

   <TD width="25%"></TD></TR>

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   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts:</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts &#8212; US dollars purchased</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts &#8212; US dollars sold</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average US dollar amounts purchased</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$27,210,566</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average US dollar amounts sold</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,764,454</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>3. Investment Advisory Agreement and Other Transactions</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>with Affiliates:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The PNC Financial Services Group, Inc. (&#8220;PNC&#8221;), Bank of America</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporation (&#8220;BAC&#8221;) and Barclays Bank PLC (&#8220;Barclays&#8221;) are the largest</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>stockholders of BlackRock, Inc. (&#8220;BlackRock&#8221;). Due to the ownership</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>structure, PNC is an affiliate of the Master LLC for 1940 Act purposes,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>but BAC and Barclays are not.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC, entered into an Investment Advisory Agreement with</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Advisors, LLC (the &#8220;Manager&#8221;), the Master LLC&#8217;s investment advi-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sor, an indirect, wholly owned subsidiary of BlackRock, to provide invest-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment advisory and administration services. The Manager is responsible for</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 87</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (concluded) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the management of the Master LLC&#8217;s portfolio and provides the necessary</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>personnel, facilities, equipment and certain other services necessary to the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>operations of the Master LLC. For such services, the Master LLC pays the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Manager a monthly fee at an annual rate of 0.95% of the Master LLC&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>average daily net assets.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Manager voluntarily agreed to waive its investment advisory fees by the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amount of investment advisory fees the Master LLC pays to the Manager</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>indirectly through its investment in affiliated money market funds, however</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Manager does not waive its investment advisory fees by the amount of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment advisory fees paid through the Master LLC&#8217;s investment in other</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>affiliated investment companies, if any. This amount is shown as fees</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>waived by advisor in the Statement of Operations.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Manager entered into a sub-advisory agreement with BlackRock</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial Management, Inc. (&#8220;BFM&#8221;) an affiliate of the Manager. The</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Manager pays BFM for services it provides, a monthly fee that is a percent-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>age of the investment advisory fees paid by the Master LLC to the Manager.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2011, the Master LLC reimbursed</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Manager $4,580 for certain accounting services, which are included in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accounting services in the Statement of Operations.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain officers and/or directors of the Master LLC are officers and/or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>directors of BlackRock or its affiliates.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>4. Investments:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases and sales of investments including paydowns and excluding</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>short-term securities for the six months ended February 28, 2011, were</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$280,936,066 and $292,119,631, respectively.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>5. Commitments:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC may invest in floating rate loan interests. In connection with</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>these investments, the Master LLC may also enter into unfunded loan com-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mitments (&#8220;commitments&#8221;). Commitments may obligate the Master LLC to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>furnish temporary financing to a borrower until permanent financing can be</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>arranged. In connection with these commitments, the Master LLC earns a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>commitment fee, typically set as a percentage of the commitment amount.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Such fee income, which is classified in the Statement of Operations as</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>facility and other fees, is recognized ratably over the commitment period.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>As of February 28, 2011, the Master LLC had the following unfunded loan</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>commitments:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="40%"></TD>

   <TD width="39%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value of</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded</FONT></B>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Underlying</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Borrower</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitment</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Axcan</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 892,697</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 900,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Airlines, Inc.</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$3,261,914</FONT>&nbsp;</TD>

   <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$3,350,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Horizon Lines, LLC</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 292,051</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 288,733</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>6. Market and Credit Risk:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In the normal course of business, the Master LLC invests in securities and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>enters into transactions where risks exist due to fluctuations in the market</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(market risk) or failure of the issuer of a security to meet all its obligations<BR></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(issuer credit risk). The value of securities held by the Master LLC may</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>decline in response to certain events, including those directly involving the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>issuers whose securities are owned by the Master LLC; conditions affecting</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the general economy; overall market changes; local, regional or global</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>political, social or economic instability; and currency and interest rate and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>price fluctuations. Similar to issuer credit risk, the Master LLC may be</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exposed to counterparty credit risk, or the risk that an entity with which the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC has unsettled or open transactions may fail to or be unable to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>perform on its commitments. The Master LLC manages counterparty credit</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risk by entering into transactions only with counterparties that it believes</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>have the financial resources to honor their obligations and by monitoring</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the financial stability of those counterparties. Financial assets, which</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>potentially expose the Master LLC to market, issuer and counterparty credit</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risks, consist principally of financial instruments and receivables due from</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparties. The extent of the Master LLC&#8217;s exposure to market, issuer</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and counterparty credit risks with respect to these financial assets is gener-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ally approximated by their value recorded in the Master LLC&#8217;s Statement of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets and Liabilities, less any collateral held by the Master LLC.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>7. Borrowings:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC, along with certain other funds managed by the Manager</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and its affiliates, is a party to a $500 million credit agreement with a group</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of lenders, which expired in November 2010. The Master LLC may borrow</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>under the credit agreement to fund shareholder redemptions. Effective</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>November 2009, the credit agreement had the following terms: 0.02%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>upfront fee on the aggregate commitment amount which was allocated to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC based on its net assets as of October 31, 2009, a commit-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment fee of 0.10% per annum based on the Master LLC&#8217;s pro rata share of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the unused portion of the credit agreement and interest at a rate equal to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the higher of (a) the one-month LIBOR plus 1.25% per annum and (b) the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fed Funds rate plus 1.25% per annum on amounts borrowed. In addition,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC paid administration and arrangement fees which were</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>allocated to the Master LLC based on its net assets as of October 31,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2009. Effective November 2010, the credit agreement was renewed until</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>November 2011 with the following terms: a commitment fee of 0.08% per</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>annum based on the Master LLC&#8217;s pro rata share of the unused portion of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the credit agreement and interest at a rate equal to the higher of (a) the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>one-month LIBOR plus 1.00% per annum and (b) the Fed Funds rate plus</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00% per annum on amounts borrowed. In addition, the Master LLC paid</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>administration and arrangement fees which were allocated to the Master</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC based on its net assets as of October 31, 2010. The Master LLC did</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>not borrow under the credit agreement during the six months ended</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2011.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>8. Subsequent Events:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Management&#8217;s evaluation of the impact of all subsequent events on the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC&#8217;s Financial statements was completed through the date the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial Statements were issued and the following items were noted:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>As described in Note 1, pursuant to the Reorganization, on March 21,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011, Floating Rate Income Portfolio acquired all of the assets and certain</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>stated liabilities of the Senior Floating Rate Funds. In connection with the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reorganizations, the Master LLC distributed its assets and will be dissolved.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>88 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Officers and Directors</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Richard E. Cavanagh, Chairman of the Board and Director</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Karen P. Robards, Vice Chair of the Board, Chair of the Audit Committee</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Director</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Richard S. Davis, Director</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Frank J. Fabozzi, Director and Member of the Audit Committee</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kathleen F. Feldstein, Director</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>James T. Flynn, Director and Member of the Audit Committee</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Henry Gabbay, Director</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jerrold B. Harris, Director</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>R. Glenn Hubbard, Director</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>W. Carl Kester, Director and Member of the Audit Committee</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>John M. Perlowski, President and Chief Executive Officer</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brendan Kyne, Vice President</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Anne F. Ackerley, Vice President</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Neal Andrews, Chief Financial Officer</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jay Fife, Treasurer</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brian Kindelan, Chief Compliance Officer</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ira Shapiro, Secretary</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Advisor</FONT></B><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Advisors, LLC</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wilmington, DE 19809</FONT><BR><BR><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Sub-Advisor</FONT></B><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Financial</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Management, Inc.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT><BR><BR><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Custodians</FONT></B><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State Street Bank</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Trust Company</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boston, MA 02111</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Bank of New York Mellon</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10286</FONT><BR><BR><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Transfer Agents</FONT></B><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Common Shares</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Computershare Trust Company, N.A.</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Providence, RI 02940</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BNY Mellon Shareowner Services</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jersey City, NJ 07310</FONT><BR><BR><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Accounting Agent</FONT></B><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State Street Bank</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Trust Company</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Princeton, NJ 08540</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Registered</FONT></B><BR><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Public Accounting Firm</FONT></B><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deloitte &amp; Touche LLP</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Princeton, NJ 08540</FONT><BR><BR><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Legal Counsel</FONT></B><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Skadden, Arps, Slate,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Meagher &amp; Flom LLP</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10036</FONT><BR><BR><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Address of the Funds</FONT></B><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100 Bellevue Parkway</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wilmington, DE 19809</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For BHL, DVF, FRA, and BLW.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For Senior Floating Rate and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate II.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Effective February 11, 2011, John M. Perlowski became</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>President and Chief Executive Officer of the Funds and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Effective November 10, 2010, Ira Shapiro became</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Secretary of the Funds and Master LLC.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Additional Information</FONT><BR><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Section 19(a) Notices</FONT></B><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These reported amounts and sources of distributions are estimates and are not provided for tax reporting purposes. The actual amounts and sources for tax</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reporting purposes will depend upon each Fund&#8217;s investment results during the year and may be subject to changes based on tax regulations. Each Fund</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>will provide a Form 1099-DIV for the calendar year that will explain the character of these dividends and distributions for federal income tax purposes.</FONT></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2011</FONT></B>&nbsp;</TD>

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   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Cumulative Distributions</FONT></B>&nbsp;</TD>

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   <TD colSpan=4 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>% Breakdown of the Total Cumulative</FONT></B>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>for the Fiscal Year-to-Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Distributions for the Fiscal Year-to-Date</FONT></B>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Realized</FONT></B>&nbsp;</TD>

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   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Per</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Realized</FONT></B>&nbsp;</TD>

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   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Per</FONT></B>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Return of</FONT></B>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Return of</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Gains</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Share</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Gains</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital</FONT></B>&nbsp;</TD>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.381</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.381</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.462</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.462</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Each Fund estimates that it has distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a return of capital. A return of capital may occur, for example, when some or all of the shareholder&#8217;s investment in a Fund is returned to the shareholder.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A return of capital does not necessarily reflect a Fund&#8217;s investment performance and should not be confused with &#8216;yield&#8217; or &#8216;income.&#8217;</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2011 89</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Additional Information (continued)</FONT><BR><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Proxy Results</FONT></B><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Annual Meeting of Shareholders was held on September 2, 2010 for shareholders of record on July 6, 2010, to elect trustee/director nominees for</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each Trust/Fund. There were no broker non-votes with regard to any of the Trusts/Funds.</FONT></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Approved the Class III Trustees as follows:</FONT>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Richard E. Cavanagh</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Kathleen F. Feldstein</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Henry Gabbay</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes For</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Withheld</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Abstain</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes For&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Withheld</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Abstain</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes For</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Withheld</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Abstain</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,356,414</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>153,402</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,369,170&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;140,646</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,425,441</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>84,375</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30,396,066</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>528,597</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30,370,793&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;553,870</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30,328,211</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>596,452</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Jerrold B. Harris</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes For</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Withheld</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Abstain</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,365,232</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>144,584</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30,392,430</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>532,233</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Richard S. Davis, Frank J. Fabozzi, James T. Flynn, R. Glenn Hubbard, W. Carl Kester and Karen P. Robards.</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="28%"></TD>

   <TD width="13%"></TD>

   <TD width="8%"></TD>

   <TD width="6%"></TD>

   <TD width="7%"></TD>

   <TD width="9%"></TD>

   <TD width="5%"></TD>

   <TD width="8%"></TD>

   <TD width="7%"></TD>

   <TD width="5%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Approved the Directors as follows:</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Richard E. Cavanagh</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Richard S. Davis</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Frank J. Fabozzi</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes For</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Withheld</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Abstain</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes For</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Withheld</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Abstain</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes For</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Withheld</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Abstain</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,913,169</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>285,500</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,911,113</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>287,556</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,908,344</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>290,325</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,690,894</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,683</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,691,131</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 2px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,446</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,686,628</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125,949</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Kathleen F. Feldstein</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>James T. Flynn</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Henry Gabbay</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes For</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Withheld</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Abstain</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes For</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Withheld</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Abstain</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes For</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Withheld</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Abstain</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,901,869</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>296,800</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,907,743</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>290,926</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,912,755</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>285,914</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,690,044</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>122,533</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,691,131</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 2px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,446</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,689,794</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>122,783</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Jerrold B. Harris</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>R. Glenn Hubbard</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>W. Carl Kester</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes For</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Withheld</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Abstain</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes For</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Withheld</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Abstain</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes For</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Withheld</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Abstain</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,910,013</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>288,656</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,906,993</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>291,676</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,902,333</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>296,336</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,690,031</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>122,546</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,691,100</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,477</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,686,391</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>126,186</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Karen P. Robards</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes For</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Withheld</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Abstain</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,903,011</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>295,658</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,692,644</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>119,933</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>At a special meeting held on March 11, 2011, shareholders of Senior Floating Rate and Senior Floating Rate II approved the Reorganizations of Senior</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate and Senior Floating Rate II into Floating Rate Income Portfolio, pursuant to which Floating Rate Income Portfolio acquired substantially all of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the assets and assumed substantially all of the liabilities of Senior Floating Rate and Senior Floating Rate II in exchange for an equal aggregate value of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Income Portfolio shares. The results were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="41%"></TD>

   <TD width="34%"></TD>

   <TD width="13%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Votes For</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Withheld</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Abstain</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,910,601</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>705,404</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>989,479</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate II</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,318,807</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>267,188</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>346,569</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Dividend Policy</FONT></B><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds&#8217; dividend policy is to distribute all or a portion of their net</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment income to its shareholders on a monthly basis. In order to pro-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>vide shareholders with a more stable level of dividend distributions, the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds may at times pay out less than the entire amount of net investment</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income earned in any particular month and may at times in any particular</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>month pay out such accumulated but undistributed income in addition to<BR></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>net investment income earned in that month. As a result, the dividends</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>paid by the Funds for any particular month may be more or less than the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amount of net investment income earned by the Funds during such month.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds&#8217; current accumulated but undistributed net investment income,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if any, is disclosed in the Statements of Assets and Liabilities, which com-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prises part of the financial information included in this report.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>90 SEMI-ANNUAL REPORT FEBRUARY 28, 2011</FONT></P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>


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<A name="page_93"></A><BR>

<P style="text-align: left;">
<FONT color="#394c87" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Additional Information (concluded)</FONT><BR>
<BR>
<B><FONT color="#394c87" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">General Information</FONT></B><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Electronic Delivery</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Electronic copies of most financial reports are available on the Funds&#146; web-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">sites or shareholders can sign up for e-mail notifications of quarterly state-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ments, annual and semi-annual reports by enrolling in the Funds&#146; electronic</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">delivery program.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Shareholders Who Hold Accounts with Investment Advisors, Banks</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">or Brokerages:</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Please contact your financial advisor to enroll. Please note that not all</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">investment advisors, banks or brokerages may offer this service.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Householding</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Funds will mail only one copy of shareholder documents, including</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">annual and semi-annual reports and proxy statements, to shareholders</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">with multiple accounts at the same address. This practice is commonly</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">called &#147;householding&#148; and is intended to reduce expenses and eliminate</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">duplicate mailings of shareholder documents. Mailings of your shareholder</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">documents may be householded indefinitely unless you instruct us</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">otherwise. If you do not want the mailing of these documents to be</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">combined with those for other members of your household, please</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">call (800) 441-7762.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Availability of Quarterly Schedule of Investments</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Each Fund/Master LLC files its complete schedule of portfolio holdings with</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the Securities and Exchange Commission (&#147;SEC&#148;) for the first and third</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">quarters of each fiscal year on Form N-Q. The Funds&#146;/Master LLC&#146;s Forms</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">N-Q are available on the SEC&#146;s website at http://www.sec.gov and may</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">also be reviewed and copied at the SEC&#146;s Public Reference Room in</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Washington, DC. Information on the operation of the Public Reference</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Room may be obtained by calling (800) SEC-0330. Each Fund&#146;s/Master</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">LLC&#146;s Forms N-Q may also be obtained upon request and without charge</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">by calling (800) 441-7762.</FONT></P>
<P style="text-align: left;">
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Availability of Proxy Voting Policies and Procedures</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">A description of the policies and procedures that each Fund/Master LLC</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">uses to determine how to vote proxies relating to portfolio securities is</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">available (1) without charge, upon request, by calling (800) 441-7762; (2)</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">at www.blackrock.com; and (3) on the SEC&#146;s website at http://www.sec.gov.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Availability of Proxy Voting Record</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Information about how the Funds/Master LLC voted proxies relating to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">securities held in each Fund&#146;s/Master LLC&#146;s portfolio during the most</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">recent 12-month period ended June 30 is available upon request and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">without charge (1) at www.blackrock.com or by calling (800) 441-7762</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and (2) on the SEC&#146;s website at http://www.sec.gov.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Availability of Fund Updates</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock will update performance and certain other data for the Funds</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">on a monthly basis on its website in the &#147;Closed-end Funds&#148; section of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">http://www.blackrock.com. Investors and others are advised to periodically</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">check the website for updated performance information and the release of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">other material information about the Funds.</FONT></P>
<P style="text-align: left;">
<B><FONT color="#394c87" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">BlackRock Privacy Principles</FONT></B><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock is committed to maintaining the privacy of its current and for-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">mer fund investors and individual clients (collectively, &#147;Clients&#148;) and to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">safeguarding their non-public personal information. The following infor-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">mation is provided to help you understand what personal information</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock collects, how we protect that information and why in certain</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">cases we share such information with select parties.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">If you are located in a jurisdiction where specific laws, rules or regulations</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">require BlackRock to provide you with additional or different privacy-related</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">rights beyond what is set forth below, then BlackRock will comply with those</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">specific laws, rules or regulations.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock obtains or verifies personal non-public information from and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">about you from different sources, including the following: (i) information we</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">receive from you or, if applicable, your financial intermediary, on applica-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tions, forms or other documents; (ii) information about your transactions</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">with us, our affiliates, or others; (iii) information we receive from a consumer</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">reporting agency; and (iv) from visits to our websites.</FONT></P>
<P style="text-align: left;">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock does not sell or disclose to non-affiliated third parties any non-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">public personal information about its Clients, except as permitted by law</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">or as is necessary to respond to regulatory requests or to service Client</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">accounts. These non-affiliated third parties are required to protect the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">confidentiality and security of this information and to use it only for its</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">intended purpose.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">We may share information with our affiliates to service your account or to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">provide you with information about other BlackRock products or services</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">that may be of interest to you. In addition, BlackRock restricts access</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to non-public personal information about its Clients to those BlackRock</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">employees with a legitimate business need for the information. BlackRock</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">maintains physical, electronic and procedural safeguards that are designed</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to protect the non-public personal information of its Clients, including pro-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">cedures relating to the proper storage and disposal of such information.</FONT></P>
<P style="text-align: left;">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">SEMI-ANNUAL REPORT FEBRUARY 28, 2011 91</FONT></P>

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<P style="text-align: left;">
<FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">This report is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds unless accompanied or</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">preceded by the Funds&#146; current prospectus. Past performance results shown in this report should not be considered a representation</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">more or less than their original cost. Statements and other information herein are as dated and are subject to change.</FONT></P>
<IMG src="brtax6sar0211x92x1.jpg" border=0>
<BR>

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<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 2 &#150; Code of Ethics &#150; Not Applicable to this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 3 &#150; Audit Committee Financial Expert &#150; Not Applicable to this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 4 &#150; Principal Accountant Fees and Services &#150; Not Applicable to this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 5 &#150; Audit Committee of Listed Registrants &#150; Not Applicable to this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 6 &#150; Investments</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a) The registrant&#146;s Schedule of Investments is included as part of the Report to Stockholders filed under</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 1 of this Form.</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Form N-CSR filing.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 7 &#150; Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies &#150;</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Not Applicable to this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 8 &#150; Portfolio Managers of Closed-End Management Investment Companies &#150;</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a) Not Applicable to this semi-annual report</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the most recent annual report on Form N-CSR.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 9 &#150; Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Purchasers &#150; Not Applicable</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 10 &#150; Submission of Matters to a Vote of Security Holders &#150; There have been no material changes to these</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">procedures.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 11 &#150; Controls and Procedures</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a) &#150; The registrant&#146;s principal executive and principal financial officers, or persons performing similar</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">functions, have concluded that the registrant&#146;s disclosure controls and procedures (as defined in Rule 30a-</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">3(c) under the Investment Company Act of 1940, as amended (the &#147;1940 Act&#148;)) are effective as of a date</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">within 90 days of the filing of this report based on the evaluation of these controls and procedures required</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">amended.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(b) &#150; There were no changes in the registrant&#146;s internal control over financial reporting (as defined in Rule</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">report that have materially affected, or are reasonably likely to materially affect, the registrant&#146;s internal</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">control over financial reporting.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 12 &#150; Exhibits attached hereto</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a)(1) &#150; Code of Ethics &#150; Not Applicable to this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a)(2) &#150; Certifications &#150; Attached hereto</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a)(3) &#150; Not Applicable</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(b) &#150; Certifications &#150; Attached hereto</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">authorized.</FONT></P>

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<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Limited Duration Income Trust</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">By: </FONT><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/S/ John M. Perlowski</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">John M. Perlowski</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Executive Officer (principal executive officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Limited Duration Income Trust</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: May 4, 2011</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1940, this report has been signed below by the following persons on behalf of the registrant and in the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">capacities and on the dates indicated.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">By: </FONT><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/S/ John M. Perlowski</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">John M. Perlowski</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Executive Officer (principal executive officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Limited Duration Income Trust</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: May 4, 2011</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">By: </FONT><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/S/ Neal J. Andrews</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Neal J. Andrews</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Financial Officer (principal financial officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Limited Duration Income Trust</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: May 4, 2011</FONT></P>

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<P style="text-align: left;">
<B><FONT size=2 face="Arial-BoldMT,Arial,Helvetica,sans-serif">EX-99.CERT</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">THE SARBANES-OXLEY ACT OF 2002</FONT></B><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">I, John M. Perlowski, Chief Executive Officer (principal executive officer) of BlackRock Limited Duration Income Trust,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">certify that:</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1. I have reviewed this report on Form N-CSR of BlackRock Limited Duration Income Trust;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">material fact necessary to make the statements made, in light of the circumstances under which such statements were made,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">not misleading with respect to the period covered by this report;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">in this report;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">designed under our supervision, to ensure that material information relating to the registrant, including its</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">which this report is being prepared;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">b) designed such internal control over financial reporting, or caused such internal control over financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial reporting and the preparation of financial statements for external purposes in accordance with generally</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">accepted accounting principles;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">days prior to the filing date of this report based on such evaluation; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">d) disclosed in this report any change in the registrant's internal control over financial reporting that</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reasonably likely to materially affect, the registrant's internal control over financial reporting; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of the registrant's board of directors (or persons performing the equivalent functions):</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">summarize, and report financial information; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">b) any fraud, whether or not material, that involves management or other employees who have a significant</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">role in the registrant's internal control over financial reporting.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: May 4, 2011</FONT><BR>
<BR>
<I><U><FONT size=2 face="TimesNewRomanPS-ItalicMT,Times New Roman,Times,serif">/S/ </FONT></U></I><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">John M. Perlowski</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">John M. Perlowski</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Executive Officer (principal executive officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Limited Duration Income Trust</FONT></P>

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<B><FONT size=2 face="Arial-BoldMT,Arial,Helvetica,sans-serif">EX-99.CERT</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">THE SARBANES-OXLEY ACT OF 2002</FONT></B><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">I, Neal J. Andrews, Chief Financial Officer (principal financial officer) of BlackRock Limited Duration Income Trust,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">certify that:</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1. I have reviewed this report on Form N-CSR of BlackRock Limited Duration Income Trust;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">material fact necessary to make the statements made, in light of the circumstances under which such statements were made,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">not misleading with respect to the period covered by this report;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">in this report;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">designed under our supervision, to ensure that material information relating to the registrant, including its</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">which this report is being prepared;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">b) designed such internal control over financial reporting, or caused such internal control over financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial reporting and the preparation of financial statements for external purposes in accordance with generally</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">accepted accounting principles;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">days prior to the filing date of this report based on such evaluation; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">d) disclosed in this report any change in the registrant's internal control over financial reporting that</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reasonably likely to materially affect, the registrant's internal control over financial reporting; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of the registrant's board of directors (or persons performing the equivalent functions):</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">summarize, and report financial information; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">b) any fraud, whether or not material, that involves management or other employees who have a significant</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">role in the registrant's internal control over financial reporting.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: May 4, 2011</FONT><BR>
<BR>
<I><U><FONT size=2 face="TimesNewRomanPS-ItalicMT,Times New Roman,Times,serif">/S/ </FONT></U></I><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Neal J. Andrews</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Neal J. Andrews</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Financial Officer (principal financial officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Limited Duration Income Trust</FONT></P>

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<TYPE>EX-99
<SEQUENCE>6
<FILENAME>blwsec906.htm
<DESCRIPTION>CERTIFICATION
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<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exhibit 99.1350CERT</FONT><BR>
<BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Certification Pursuant to Rule 30a-2(b) under the 1940 Act and</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Section 906 of the Sarbanes Oxley Act</FONT></B><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Pursuant to 18 U.S.C. &#167; 1350, the undersigned officer of BlackRock Limited Duration Income Trust (the &#147;registrant&#148;),</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">hereby certifies, to the best of his knowledge, that the registrant's Report on Form N-CSR for the period ended February 28,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2011 (the &#147;Report&#148;) fully complies with the requirements of Section 13a of the Securities Exchange Act of 1934, as</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and results of operations of the registrant.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: May 4, 2011</FONT><BR>
<BR>
<I><U><FONT size=2 face="TimesNewRomanPS-ItalicMT,Times New Roman,Times,serif">/S/ </FONT></U></I><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">John M. Perlowski</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">John M. Perlowski</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Executive Officer (principal executive officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Limited Duration Income Trust</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Pursuant to 18 U.S.C. &#167; 1350, the undersigned officer of BlackRock Limited Duration Income Trust (the &#147;registrant&#148;),</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">hereby certifies, to the best of his knowledge, that the registrant's Report on Form N-CSR for the period ended February 28,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2011 (the &#147;Report&#148;) fully complies with the requirements of Section 13a of the Securities Exchange Act of 1934, as</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and results of operations of the registrant.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: May 4, 2011</FONT><BR>
<BR>
<I><U><FONT size=2 face="TimesNewRomanPS-ItalicMT,Times New Roman,Times,serif">/S/ </FONT></U></I><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Neal J. Andrews</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Neal J. Andrews</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Financial Officer (principal financial officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Limited Duration Income Trust</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">This certification is being furnished pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and 18 U.S.C. Section 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Commission</FONT><B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">.</FONT></B></P>

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