<SEC-DOCUMENT>0000900092-11-000368.txt : 20110729
<SEC-HEADER>0000900092-11-000368.hdr.sgml : 20110729
<ACCEPTANCE-DATETIME>20110729164149
ACCESSION NUMBER:		0000900092-11-000368
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		3
CONFORMED PERIOD OF REPORT:	20110531
FILED AS OF DATE:		20110729
DATE AS OF CHANGE:		20110729
EFFECTIVENESS DATE:		20110729

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-Q
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-21349
		FILM NUMBER:		11997886

	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-Q
<SEQUENCE>1
<FILENAME>blwfinal.htm
<DESCRIPTION>BR LIMITED DURATION INCOME TRUST BLW
<TEXT>

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<HEAD>
   <TITLE>blwfinal.htm - Generated by SEC Publisher for SEC Filing</TITLE>
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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-Q</FONT></B><BR>
<BR>
<B><FONT size=3 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED</FONT></B><BR>
<B><FONT size=3 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">MANAGEMENT INVESTMENT COMPANY</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: 05/31/2011</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 1 &#150; Schedule of Investments</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;</FONT><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#000080 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>May 31, 2011 (Unaudited) <BR></FONT><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="45%"></TD>

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

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

   <TD width="28%"></TD></TR>

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Asset-Backed Securities &#8212; 6.7%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>321 Henderson Receivables I 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2010-3A, Class A, 3.82%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12/15/48 (a)</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,943</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 4,912,399</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ARES CLO Funds, Series 2005-</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10A, Class B, 0.70%, 9/18/17</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(a)(b)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,331,385</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Ballyrock CDO Ltd., Series 2006-</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1A, Class B, 0.60%, 8/28/19</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(a)(b)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Canaras Summit CLO Ltd., 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2007-1A, Class B, 0.79%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6/19/21 (a)(b)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,735</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,464,774</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Capital One Multi-Asset Execution</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Trust, Series 4-3C, 6.63%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/19/17 (b)</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,650</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,524,137</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Countrywide Asset-Backed Certificates (b):</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2007-6, Class 2A1,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.29%, 9/25/37</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>184</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>180,030</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2007-7, Class 2A2,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.35%, 10/25/47</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,230</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,852,859</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2007-10, Class 2A1,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.24%, 6/25/47</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,151</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,057,334</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2007-12, Class 2A1,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.54%, 8/25/47</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,232</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,108,758</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>CSAM Funding, Series 2A, Class</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>B1, 7.05%, 10/15/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>757,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Ford Credit Floorplan Master</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Owner Trust, Series 2006-4,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Class A, 0.45%, 6/15/13 (b)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,015</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,014,082</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Gannett Peak CLO Ltd., 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2006-1X, Class A2, 0.63%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10/27/20 (b)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,330</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,143,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>GSAA Trust, Series 2007-3, Class</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1A2, 0.36%, 3/25/47 (b)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,429</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,623,930</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Portola CLO Ltd., Series 2007-1X,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Class B1, 1.71%, 11/15/21</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,770</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,593,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SLC Student Loan 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2006-A, Class A4, 0.40%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1/15/19 (b)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,848</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,806,039</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Santander Consumer Acquired</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Receivables Trust, Series 2011-</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>S1A, Class D, 3.15%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8/15/16 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,529</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,528,896</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Santander Drive Auto Receivables Trust (a):</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2011-S1A, Class 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3.10%, 5/15/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,042</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,044,078</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2011-S2A, 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2.06%, 6/15/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,250</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,249,986</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2011-S2A, 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2.86%, 6/15/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,230</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,229,976</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="46%"></TD>

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

   <TD width="17%"></TD>

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

<TR vAlign=bottom>

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

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

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Asset-Backed Securities</FONT>&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><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(000)</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Asset-Backed Securities (concluded)</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Spirit Issuer Plc, Series A2, 1.90%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12/28/31</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 2,516,665</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>T2 Income Fund CLO Ltd., 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2007-1A, Class B, 0.88%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7/15/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,515</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,370,742</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>43,634,120</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Interest Only Asset-Backed</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities &#8212; 0.3%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Sterling Bank Trust, Series 2004-2,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Class Note, 2.08%, 3/30/30 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>13,096</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>851,214</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Sterling Coofs Trust, Series 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2.36%, 4/15/29</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11,667</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>849,501</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,700,715</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total Asset-Backed Securities &#8211; 7.0%</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>45,334,835</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#8212; 0.0%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USI United Subcontractors</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" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,116</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>61,156</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 0.5%</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><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Kcad Holdings I Ltd.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>250,932,005</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,455,334</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 0.1%</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><FONT size=1 face=FranklinGothic-Book,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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>51,947</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>567,105</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 0.0%</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 size=1 face=FranklinGothic-Book,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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>234</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>73,615</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Software &#8212; 0.2%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bankruptcy Management</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Solutions, Inc.</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>880</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>HMH Holdings/EduMedia</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>238,664</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,193,329</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total Common Stocks &#8211; 0.8%</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,350,539</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&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><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(000)</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#8212; 0.4%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Kratos Defense &amp; Security Solutions,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10.00%, 6/01/17</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,540,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10.00%, 6/01/17 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,026</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,128,600</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,668,600</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>
<IMG border=0 src="blwx1x1.jpg"> <BR>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLACKROCK LIMITED DURATION INCOME TRUST</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MAY 31, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

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



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

<!--$$/page=--><A name="page_3"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#000080 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(continued) <BR></FONT><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="46%"></TD>

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

   <TD width="15%"></TD>

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

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Airlines &#8212; 1.3%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>American Airlines, Inc., 10.50%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10/15/12</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,890</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 3,077,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Continental Airlines, Inc., 6.75%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9/15/15 (a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,350</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,370,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Delta Air Lines, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9.75%, 12/17/16 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,302</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,380,323</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>United Air Lines, Inc., 12.75%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7/15/12 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,455</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,685,375</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8,513,798</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.2%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>B-Corp Merger Sub, Inc., 8.25%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6/01/19 (a)(e)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>240</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>242,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Delphi Corp., 6.13%, 5/15/21 (a)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>780</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>780,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Pittsburgh Glass Works 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.50%, 4/15/16 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>370</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>383,875</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,406,575</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Beverages &#8212; 0.1%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Crown European Holdings SA,</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" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.13%, 8/15/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>585</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>879,757</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Building Products &#8212; 0.8%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Associated Materials LLC, 9.13%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>540</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>558,225</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Building Materials Corp. of America</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.00%, 2/15/20</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,345</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,405,525</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.75%, 5/01/21</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,120</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,128,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Momentive Performance</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Materials, Inc., 9.00%,</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1/15/21 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,080</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,225,600</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,317,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Capital Markets &#8212; 1.1%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>American Capital Ltd., 7.96%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12/31/13 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,675</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,722,436</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>E*Trade Financial 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12.50%, 11/30/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>330</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>396,825</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3.43%, 8/31/19 (a)(f)(g)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>249</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>380,659</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Goldman Sachs Group LP, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10/01/14 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,235,692</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SteelRiver Transmission 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4.71%, 6/30/17 (a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,303</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,324,615</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,060,227</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Chemicals &#8212; 1.4%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>American Pacific Corp., 9.00%,</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2/01/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,078,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Celanese US Holdings LLC, 5.88%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6/15/21 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>805</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>823,112</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Hexion U.S. Finance Corp., 9.00%,</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11/15/20</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>735</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>790,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Nova Chemicals Corp., 8.38%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11/01/16 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,500</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,146,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>OXEA Finance/Cy SCA, 9.50%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7/15/17 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>518</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>573,038</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9,410,525</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="46%"></TD>

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

   <TD width="15%"></TD>

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

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 2.1%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>CIT Group, Inc., 5.25%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/01/14 (a)(d)</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,500</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 5,602,349</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.38%, 5/15/12</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,590</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,721,963</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4.88%, 4/26/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,355</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,392,257</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Wells Fargo &amp; Co., 3.68%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6/15/16 (d)(h)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,870</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,943,203</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>13,659,772</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#8212; 0.6%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ACCO Brands Corp., 10.63%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/15/15 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,425</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,599,562</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Brickman Group 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9.13%, 11/01/18 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,240</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,286,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Mobile Mini, Inc., 7.88%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12/01/20 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>915</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>967,613</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>West Corp., 8.63%, 10/01/18 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>165</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>173,869</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,027,544</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Communications Equipment &#8212; 0.5%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Avaya, 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9.75%, 11/01/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>510</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>529,763</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10.13%, 11/01/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,480</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,539,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.00%, 4/01/19 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>391,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>EH Holding Corp., 6.50%, 6/15/19</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(a)(e)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>850</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>859,562</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,319,525</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Consumer Finance &#8212; 1.0%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Acceptance Corp., 9.13%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2/01/17 (a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>910</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>985,075</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3.03%, 1/13/12 (b)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>565</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>568,582</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.80%, 6/01/12 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,665</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,751,467</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.00%, 4/15/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>436,961</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.63%, 8/15/17 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,066</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,161,815</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Hyundai Capital America, 3.75%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/06/16 (a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,285</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,295,839</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,199,739</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#8212; 1.5%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Ardagh Packaging Finance 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.38%, 10/15/17 (a)</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>695</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,027,679</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.25%, 11/15/15</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,400</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,574,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9.75%, 1/15/21</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,650</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,652,062</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Pregis Corp., 12.38%, 10/15/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>955</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>947,838</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.25%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,215</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,805,332</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.75%, 11/15/19</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,155</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,732,802</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9,739,713</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212;</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4.4%</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 size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.30%, 2/12/15 (d)</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,460</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,742,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.50%, 9/15/20 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,630</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,754,288</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

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

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   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLACKROCK LIMITED DURATION INCOME TRUST</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MAY 31, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<!--$$/page=--><A name="page_4"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#000080 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(continued) <BR></FONT><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="46%"></TD>

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

   <TD width="15%"></TD>

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

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Diversified Financial Services</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(concluded)</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Ally Financial, Inc. (concluded):</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.00%, 11/01/31</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,240</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 1,360,638</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.00%, 11/01/31</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,600</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,879,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank of America Corp., 4.50%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/01/15 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,175,257</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Citigroup, Inc., 4.75%, 5/19/15 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,218,637</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Forethought Financial 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.63%, 4/15/21 (a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>768,128</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>JPMorgan Chase &amp; Co., 3.40%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6/24/15 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,000</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,202,260</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Reynolds Group DL Escrow, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.50%, 10/15/16 (a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,125</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,273,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Reynolds Group Issuer, 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.50%, 10/15/16</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>340</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>513,147</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.13%, 4/15/19 (a)(d)</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>765</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>795,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.88%, 2/15/21 (a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,950</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,010,937</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.25%, 2/15/21 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,135</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,154,863</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>28,849,905</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Diversified Telecommunication</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Services &#8212; 2.4%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ITC Deltacom, Inc., 10.50%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/01/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,350</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,458,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Level 3 Escrow, Inc., 8.13%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7/01/19 (a)(e)(f)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,290</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,302,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Level 3 Financing, Inc., 8.75%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2/15/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,120</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,183,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Qwest Communications International,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.50%, 2/15/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>610</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>618,387</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.00%, 10/01/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,737,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series B, 7.50%, 2/15/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,985</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,026,044</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Qwest Corp., 8.38%, 5/01/16 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,590</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,075,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>tw telecom Holdings, Inc., 8.00%,</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/01/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>470</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>510,538</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Windstream Corp., 8.13%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8/01/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>590</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>647,525</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>15,560,119</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&amp; Components &#8212; 1.4%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Agilent Technologies, Inc., 4.45%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9/14/12 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,325</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,614,220</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>CDW LLC, 8.00%, 12/15/18 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,180</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,265,550</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8,879,770</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#8212;</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.6%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Compagnie Generale de Geophysique-</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.50%, 5/15/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>25</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>25,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.75%, 5/15/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>330</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>346,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Frac Tech Services LLC, 7.13%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11/15/18 (a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,690</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,791,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Key Energy Services, Inc., 6.75%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/01/21 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,040</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,053,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="46%"></TD>

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

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

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

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(concluded)</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Oil States 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.50%, 6/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>915</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 920,719</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,137,244</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#8212; 0.1%</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>570</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>589,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Food Products &#8212; 1.0%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Blue Merger Sub, Inc., 7.63%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2/15/19 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,450</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,500,531</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>JBS USA LLC, 7.25%, 6/01/21 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>294,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Tyson Foods, Inc., 10.50%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/01/14 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,611,250</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,405,781</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Gas Utilities &#8212; 0.4%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Florida Gas Transmission 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4.00%, 7/15/15 (a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,105,398</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Targa Resources Partners 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.88%, 2/01/21 (a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>690</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>687,413</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,792,811</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#8212; 1.8%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Boston Scientific 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4.50%, 1/15/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,556</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,745,684</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.40%, 6/15/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>792</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>895,434</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>CareFusion Corp., 5.13%, 8/01/14 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,293,280</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>DJO 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10.88%, 11/15/14 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,625</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,835,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.75%, 4/15/18 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>715</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>734,663</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11,504,061</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 1.6%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Aviv Healthcare Properties 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.75%, 2/15/19 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>645</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>659,512</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>HCA, Inc., 7.25%, 9/15/20</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,325</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,444,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Tenet Healthcare 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9.00%, 5/01/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>812</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>884,065</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10.00%, 5/01/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,682</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,650,890</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10,638,717</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Health Care Technology &#8212; 0.8%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>IMS Health, Inc., 12.50%,</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" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/01/18 (a)(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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,117,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 3.0%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Enterprise Inns 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.50%, 12/06/18</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,232</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,276,937</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.88%, 2/15/21</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,070</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,953,966</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MGM Resorts International,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10.38%, 5/15/14</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,135</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,310,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Punch Taverns Finance B, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series A7, 4.77%, 6/30/33</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,329</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,836,620</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1.04%, 12/28/28</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,325</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,102,217</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.47%, 12/28/34 (b)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,500</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,144,072</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="35%"></TD>

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLACKROCK LIMITED DURATION INCOME TRUST</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MAY 31, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<!--$$/page=--><A name="page_5"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#000080 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(continued) <BR></FONT><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="43%"></TD>

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

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

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

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(concluded)</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Tropicana Entertainment 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series WI, 9.63%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12/15/14 (c)(i)</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>375</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>19,624,775</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Household Durables &#8212; 1.1%</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 size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12.00%, 10/15/17 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,800</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,294,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9.13%, 6/15/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>265</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>251,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Berkline/Benchcraft, LLC, 4.50%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11/03/12 (c)(i)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.38%, 5/15/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>945</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>961,538</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.38%, 1/15/21</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,830</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,834,575</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,341,863</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>IT Services &#8212; 1.3%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Eagle Parent Canada, Inc., 8.63%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/01/19 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,350</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,376,437</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.38%, 6/15/19</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,010</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,045,175</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12.63%, 1/15/21</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,413</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,536,638</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>iPayment, Inc., 9.75%, 5/15/14</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>950</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>973,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>iPayment Investors LP, 11.63%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7/15/14 (a)(j)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,513</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,528,253</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8,460,253</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Independent Power Producers &amp;</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Energy Traders &#8212; 1.8%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Calpine Corp., 7.50%, 2/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,360</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,414,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Energy Future Holdings 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10.00%, 1/15/20 (a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,870</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,189,886</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Energy Future Intermediate</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Holding Co. LLC, 10.00%,</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12/01/20</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,720</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,958,430</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>NRG Energy, Inc., 7.63%, 1/15/18</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,965</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,994,650</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11,557,366</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Industrial Conglomerates &#8212; 1.4%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11.75%, 12/01/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,950</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,156,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>13.50%, 12/01/15 (j)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,870</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,280,899</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9,437,399</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Insurance &#8212; 1.1%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Allied World Assurance Co. Holdings,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Ltd., 7.50%, 8/01/16 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,442,065</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>CNO Financial Group, Inc., 9.00%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1/15/18 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,498</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,697,840</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Genworth Financial, Inc., 7.63%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9/24/21 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>990</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,032,805</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,172,710</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Machinery &#8212; 0.5%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AGY Holding Corp., 11.00%,</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11/15/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,460,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Navistar International 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.25%, 11/01/21 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>439,500</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="43%"></TD>

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

   <TD width="15%"></TD>

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

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Machinery (concluded)</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Titan International, Inc., 7.88%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,330</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 1,429,750</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,329,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Media &#8212; 6.0%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>CCH II LLC, 13.50%, 11/30/16 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,106</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,886,185</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>CCO Holdings LLC (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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.25%, 10/30/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>720</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>748,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.88%, 4/30/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,525</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,616,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Inc., 10.50%, 1/15/15 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,990</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,890,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Checkout Holding Corp., 10.98%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11/15/15 (a)(g)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,050</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,347,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Clear Channel Worldwide Holdings, Inc.:</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9.25%, 12/15/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>933</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,016,970</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series B, 9.25%, 12/15/17 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,732</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,169,710</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>CMP Susquehanna Corp., 3.52%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/15/14 (a)(b)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>194</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>184,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>DIRECTV Holdings LLC, 3.13%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2/15/16 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,044,169</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.00%, 10/01/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,450</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,562,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.13%, 2/01/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>213,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.75%, 6/01/21 (a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>909,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Interactive Data Corp., 10.25%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8/01/18 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,460</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,736,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Kabel BW Erste Beteiligungs</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>GmbH, 7.50%, 3/15/19 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,440</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,499,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>NAI Entertainment Holdings 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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.25%, 12/15/17 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,445</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,560,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Nielsen Finance LLC, 7.75%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10/15/18 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,501,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ProtoStar I Ltd., 18.00%,</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10/15/12 (a)(c)(i)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,454</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,727</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Rainbow National Services 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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10.38%, 9/01/14 (a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,134</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,251,525</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>UPC Germany GmbH, 8.13%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12/01/17 (a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,500</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,781,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Virgin Media Secured Finance Plc,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.50%, 1/15/18 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,101,250</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>39,023,886</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 2.2%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Arch Western Finance LLC, 6.75%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7/01/13 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>933</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>936,499</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>FMG Resources August 2006 Property</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Ltd., 7.00%, 11/01/15 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,965</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,083,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Freeport-McMoRan Copper &amp; Gold,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Inc., 8.38%, 4/01/17 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,288,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>JMC Steel Group, 8.25%, 3/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>880</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>908,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>New World Resources NV, 7.88%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>995</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,496,339</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Novelis, Inc., 8.75%, 12/15/20 (a) USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,125</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,558,125</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>14,271,913</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

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

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

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

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   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLACKROCK LIMITED DURATION INCOME TRUST</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MAY 31, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<!--$$/page=--><A name="page_6"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#000080 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(continued) <BR></FONT><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="45%"></TD>

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

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

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

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Multiline Retail &#8212; 0.4%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dollar General Corp., 11.88%,</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" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7/15/17 (d)(j)</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,458</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 2,808,265</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 5.2%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Alpha Natural Resources, Inc. (e):</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.00%, 6/01/19</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>820</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>825,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.25%, 6/01/21</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,030</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,048,025</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Anadarko Petroleum Corp., 5.95%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9/15/16 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,389,466</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Berry Petroleum Co., 8.25%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11/01/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>576,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BP Capital Markets Plc, 5.25%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11/07/13 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,000</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,515,382</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Coffeyville Resources LLC, 9.00%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/01/15 (a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>634</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>687,890</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Consol Energy, Inc., 8.25%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/01/20 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,665,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Crosstex Energy LP, 8.88%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2/15/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>135</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>146,475</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Denbury Resources, 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.25%, 2/15/20</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>971</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,072,955</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.38%, 8/15/21</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>810</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>820,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>El Paso Corp., 7.00%, 6/15/17 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,265</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,626,016</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Energy Transfer Equity LP, 7.50%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10/15/20 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>335</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>365,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Linn Energy 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.63%, 4/15/20</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,095,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.75%, 2/01/21 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,615</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,703,825</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Niska Gas Storage US LLC, 8.88%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/15/18 (a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>950</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,021,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Oasis Petroleum, Inc., 7.25%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2/01/19 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>530</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>533,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>OGX Petroleo e Gas Participacoes</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SA, 8.50%, 6/01/18 (a)(e)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,545</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,651,807</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Overseas Shipholding Group, Inc.,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.75%, 12/01/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,190</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,240,575</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Petrohawk Energy Corp., 6.25%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6/01/19 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,283,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Range Resources Corp., 5.75%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6/01/21 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,735</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,728,494</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SandRidge Energy, Inc., 7.50%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/15/21 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,160</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,200,600</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>34,197,010</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 0.6%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>NewPage Corp., 11.38%,</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" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,950</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,811,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Pharmaceuticals &#8212; 0.3%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Valeant Pharmaceuticals International (a):</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.50%, 7/15/16 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,335</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,328,325</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.75%, 10/01/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>240</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>237,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.00%, 10/01/20 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>235</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>230,300</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,796,225</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="46%"></TD>

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

   <TD width="15%"></TD>

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

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Professional Services &#8212; 0.2%</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 size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.75%, 10/01/16</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>350</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 364,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.75%, 10/01/20 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>810</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>826,200</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,191,075</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Real Estate Investment Trusts</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(REITs) &#8212; 0.6%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>FelCor Lodging LP, 6.75%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6/01/19 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,610</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,601,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Longview Fibre Paper &amp; Packaging,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Inc., 8.00%, 6/01/16 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>395</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>400,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.75%, 10/15/22 (a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>635</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>633,412</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Ventas Realty LP / Ventas Capital</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Corp., 4.75%, 6/01/21 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,295,904</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,932,191</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Real Estate Management &amp;</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Development &#8212; 2.0%</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 size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11.50%, 4/15/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,390</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,466,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12.00%, 4/15/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>685</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>717,538</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.88%, 2/15/19</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,245</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,261,225</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Shea Homes LP, 8.63%, 5/15/19</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>855</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>864,619</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>The Unique Pub Finance Co. 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series A3, 6.54%, 3/30/21</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,495,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series A4, 5.66%, 6/30/27</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>509</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>646,818</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series M, 7.40%, 3/28/24</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,750</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,528,523</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12,981,048</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Road &amp; Rail &#8212; 1.1%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Asciano Finance Ltd., 3.13%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9/23/15 (a)(d)</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,400</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,377,815</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Avis Budget Car Rental 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.25%, 1/15/19</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>375</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>388,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Florida East Coast Railway 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.13%, 2/01/17 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>530</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>552,525</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.50%, 10/15/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>635</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>666,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.75%, 4/15/19</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,030</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,040,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.38%, 1/15/21</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,160</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,200,600</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,226,584</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Equipment &#8212; 0.5%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>National Semiconductor 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="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,143,346</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Specialty Retail &#8212; 0.6%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Best Buy Co., Inc., 3.75%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/15/16 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,033,957</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Sonic Automotive, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.63%, 8/15/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>583</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>588,830</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,622,787</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="35%"></TD>

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLACKROCK LIMITED DURATION INCOME TRUST</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MAY 31, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<!--$$/page=--><A name="page_7"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#000080 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(continued) <BR></FONT><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="44%"></TD>

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

   <TD width="15%"></TD>

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

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Tobacco &#8212; 0.5%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Reynolds American, Inc., 7.63%,</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6/01/16 (d)</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 3,022,085</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Transportation Infrastructure &#8212; 0.1%</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Aguila 3 SA, 7.88%, 1/31/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>498</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>509,205</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Wireless Telecommunication</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Services &#8212; 1.8%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Clearwire Communications 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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12.00%, 12/01/15 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>130</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>142,188</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10.00%, 7/15/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>110</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>119,763</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.75%, 5/15/16 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,390,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Crown Castle Towers LLC, 4.52%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1/15/35 (a)(d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,141,879</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.88%, 1/15/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>720</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>741,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9.13%, 1/15/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,267</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,340,677</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.25%, 9/01/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,335</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,401,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Nextel 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series E, 6.88%, 10/31/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>425</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>428,719</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Sprint Capital Corp., 8.38%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/15/12 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>925</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>968,937</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11,676,138</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total Corporate Bonds &#8211; 57.8%</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>376,816,632</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</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></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#8212; 0.4%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Hawker Beechcraft Acquisition Co., LLC:</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Letter of Credit Linked</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deposit, 2.31%, 3/26/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>67</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>58,552</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan, 2.31%, 3/26/14</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,079</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>946,865</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>TransDigm, Inc., Term Loan (First</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Lien), 5.25%, 2/14/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,496</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,501,861</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,507,278</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Airlines &#8212; 0.3%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Delta Air Lines, Inc., Credit-New</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: 2px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan B, 5.50%, 4/20/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,978,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.6%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Allison Transmission, Inc., Term</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan, 2.96%, 8/07/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,751</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,730,774</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Armored Auto Group, Inc. (FKA</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Viking Acquisition, Inc.), Term</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan B, 6.00%, 11/04/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,397</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,396,500</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,127,274</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Automobiles &#8212; 0.3%</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 size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2.95%, 12/16/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,477</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,476,694</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="46%"></TD>

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

   <TD width="15%"></TD>

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

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Automobiles (concluded)</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Ford Motor Co. (concluded):</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2.95%, 12/16/13</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>307</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 306,783</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,783,477</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Beverages &#8212; 0.1%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Le-Nature's, Inc, Tranche B 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="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan, 0.00%, 3/01/11 (c)(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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>380,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Building Products &#8212; 1.5%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>CPG International I, Inc., 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan B, 6.00%, 2/18/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>998</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>999,370</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.75%, 10/28/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,726</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,755,109</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9.00%, 10/30/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,853,550</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Momentive Performance Materials</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Blitz 06-103 GmbH), 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: 2px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2B Term Loan, 4.69%, 5/05/15 EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,528</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,164,305</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>United Subcontractors, Inc., 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan (First Lien)Term Loan (First</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Lien), 1.81%, 6/30/15 (j)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>143</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>129,001</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9,901,335</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Capital Markets &#8212; 0.8%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>HarbourVest Partners, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(First Lien), 6.25%, 12/14/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,606</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,619,517</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Marsico Parent Co., LLC, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan, 5.31%, 12/14/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>371</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>283,606</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Extended Term Loan (First</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Lien), 3.31%, 11/13/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>973</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>956,463</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Non-Extended 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(First Lien), 5.81%, 5/13/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,137</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,141,015</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,000,601</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Chemicals &#8212; 2.7%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Arizona Chemical 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>B, 4.75%, 11/21/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,153</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,158,456</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Brenntag Holding GmbH and 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Facility 2 (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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.43%, 7/17/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>501,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Facility 3A (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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.56%, 7/17/15</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>115</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>166,037</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Facility 3B (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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.56%, 7/17/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>16</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>23,135</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Facility B6A and B6B, 5.13%,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1/20/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>181</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>261,033</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan A2, 7.00%,</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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12/14/12</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>26</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>27,424</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan B, 5.13%, 1/20/14EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>233</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>337,167</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Chemtura Corp., Exit 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>LoanTerm Facility, 5.50%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8/27/16</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,306,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Gentek, Inc., Tranche B 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan, 5.75%, 3/03/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,990</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,991,658</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="35%"></TD>

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLACKROCK LIMITED DURATION INCOME TRUST</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MAY 31, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

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<!--$$/page=--><A name="page_8"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#000080 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(continued) <BR></FONT><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="46%"></TD>

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

   <TD width="15%"></TD>

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

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Chemicals (concluded)</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MDI Holdings, LLC (FKA</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MacDermid, Inc.), Tranche 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan, 3.43%, 4/11/14</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>464</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 654,525</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Nexeo Solutions, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>B, 5.00%, 9/08/17</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,299,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>PQ Corp. (FKA Niagara 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Inc.), Original Term Loan (First</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Lien), 3.53%, 7/30/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,423</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,388,233</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Styron Sarl, Term Loan B, 6.00%,</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8/02/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,893</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,908,246</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Tronox Worldwide LLC, Exit 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan, 7.00%, 10/15/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,643</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,662,098</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Univar, Inc., Term Loan B, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6/30/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,793</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,791,503</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>17,477,359</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 0.3%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>CIT Group Inc., Tranche 3 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="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,666</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,681,550</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#8212; 2.0%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Adesa, Inc. (KAR 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Initial Term Loan B, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/19/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,504,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Altegrity, Inc. (FKA US</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Tranche D Term Loan, 7.75%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2/21/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,970</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,002,256</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AWAS Finance Luxembourg Sarl,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan B, 7.75%, 6/10/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,197</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,220,005</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Delos Aircraft, Inc., Term Loan 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.00%, 3/17/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,454</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,456,443</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Quad/Graphics, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.50%, 4/14/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,365</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,363,551</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Synagro Technologies, Inc., 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan (First Lien), 2.20%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/02/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,150</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,084,007</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Volume Services America, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Centerplate), 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10.50%, 9/16/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,587</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,603,169</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>13,233,931</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Communications Equipment &#8212; 0.9%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Avaya, 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan B, 3.01%,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10/24/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,871</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,804,549</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan B-3, 4.76%,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10/26/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,699</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,626,790</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>CommScope, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.00%, 1/14/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,256,250</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,687,589</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#8212;</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.6%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Safway Services, LLC, First Out</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Tranche Loan, 9.00%,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12/16/17</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,750</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,750,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="44%"></TD>

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

   <TD width="15%"></TD>

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

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Consumer Finance &#8212; 0.4%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Springleaf Financial Funding Co.</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(FKA AGFS Funding Co.), Term</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan, 5.50%, 5/05/17</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 2,496,095</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#8212; 0.2%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Graham Packaging Co., LP, Term</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan D, 6.00%, 9/23/16</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,493</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,496,637</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Diversified Consumer Services &#8212; 1.8%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Coinmach Service Corp., 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan, 3.26%, 11/20/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,607</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,434,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Laureate Education, Series A New</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan, 7.00%, 8/31/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,611</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,622,218</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Closing Date 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2.81%, 7/24/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,519</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,456,894</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2.70%, 7/24/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>251</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>244,670</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11,758,157</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 0.3%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Reynolds Group 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="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan E, 4.25%, 2/09/18</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,998,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Diversified Telecommunication</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Services &#8212; 0.5%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Hawaiian Telcom</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Communications, Inc., 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan, 9.00%, 11/01/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,167</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,222,549</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Level 3 Financing, Inc., Tranche A</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Incremental Term Loan, 2.53%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/13/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,150</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,124,305</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,346,854</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Electric Utilities &#8212; 0.1%</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 size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Synthetic Letter of Credit</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deposit (First Lien), 2.31%,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12/13/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>151</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>149,091</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Synthetic Revolving Deposit,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2.31%, 12/15/11</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>47</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>46,737</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan B, 2.31%,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12/15/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>273</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>270,348</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>466,176</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&amp; Components &#8212; 1.0%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Aeroflex Inc., Term Loan B, 4.25%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/09/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,500,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Extended Term Loan B, 4.50%,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7/14/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,021</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,014,509</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Non-Extended 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3.95%, 10/10/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,012</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,002,037</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,516,546</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="35%"></TD>

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLACKROCK LIMITED DURATION INCOME TRUST</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MAY 31, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

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

<!--$$/page=--><A name="page_9"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#000080 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(continued) <BR></FONT><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="44%"></TD>

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

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

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

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#8212; 0.3%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MEG Energy Corp., Tranche 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="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan, 4.00%, 3/16/18</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 2,004,062</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#8212; 0.5%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>U.S. Foodservice, 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>New Term Loan B, 5.75%,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/25/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,650</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,622,499</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan B, 2.70%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,864</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,764,496</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,386,995</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Food Products &#8212; 1.6%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Advance Pierre Foods, Term Loan,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.00%, 9/30/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,080</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,101,599</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11.25%, 9/29/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,321,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Del Monte 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4.50%, 3/08/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,785</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,784,111</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Michaels Foods Group, Inc. (FKA</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>M-Foods Holdings, Inc.), (Second</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Lien) Term Loan B, 4.25%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2/23/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>280</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>280,910</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 2px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Tranche D Term Loan, 6.00%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/02/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,198</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,210,372</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.50%, 3/02/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>124</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>124,431</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Tranche C-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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.00%, 3/02/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>303</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>304,395</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10,126,943</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#8212; 0.3%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Iasis Healthcare LLC, Term Loan,</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.00%, 5/03/18</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,001,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 2.5%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Ardent Health Services, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan, 6.50%, 9/15/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,318</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Non-Extended Delayed Draw</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan, 2.50%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>116</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>112,376</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Non-Extended 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2.50%, 7/25/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,262</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,184,528</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ConvaTec, Inc., Dollar Term Loan,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.75%, 12/22/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,297</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,299,992</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>DaVita, Inc., Term Loan B, 4.50%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10/20/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,995</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,006,222</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Emergency Medical Services, Term</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan, 5.25%, 5/02/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,250</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,247,099</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Tranche A Additional 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan, 7.75%, 3/02/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,897</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,819,235</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Tranche A Term Loan, 8.50%,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/02/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>615</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>603,189</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>HCA, Inc., Tranche B-1 Term Loan,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2.56%, 11/18/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>340</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>338,015</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="44%"></TD>

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

   <TD width="15%"></TD>

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

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(concluded)</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>inVentiv Health, Inc. (FKA Ventive</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Health, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4.75%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,466</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 2,470,042</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Renal Advantage Holdings, Inc.,</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Tranche B Term Loan, 5.75%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12/16/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,397</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,404,355</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Vanguard Health Holding Co. II,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>LLC (Vanguard Health Systems,</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Inc.), Initial Term Loan, 5.00%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1/29/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>815</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>814,289</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>16,300,660</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Health Care Technology &#8212; 0.5%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>IMS Health, Inc., Tranche B Dollar</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan, 4.50%, 8/25/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,105</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,109,061</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MedAssets, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.00%, 11/16/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>859</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>863,473</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,972,534</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 4.4%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Blackstone UTP Capital LLC, Loan,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.75%, 11/06/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,449</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,500,682</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLB Management Services, Inc.</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Wembly, Inc.), Loan (Exit),</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8.50%, 11/05/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,452</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,455,919</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dunkin' Brands, Inc., Term Loan B,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4.25%, 11/23/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,094</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,094,808</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Golden Living, Term Loan, 5.00%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/04/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,672,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan B-1, 3.27%,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1/28/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>449</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>417,369</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan B-2, 3.27%,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1/28/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>697,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan B-3, 3.31%,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1/28/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8,496</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,906,174</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan B-4, 9.50%,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10/31/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>960</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,017,674</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>OSI Restaurant Partners, LLC, Pre-</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Funded RC Loan, 2.56%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6/14/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>32</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>31,270</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Seaworld Parks &amp; Entertainment,</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Inc. (FKA SW Acquisitions Co.,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Inc.), Term Loan B, 4.00%,</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8/17/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,686</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,691,380</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Six Flags Theme Parks, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Tranche B Term Loan (First</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Lien), 5.25%, 6/30/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,838</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,857,526</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Travelport LLC (FKA Travelport,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Inc.), Loan, 8.26%, 3/27/12 (j)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,059</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,431,709</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>VML US Finance LLC (FKA Venetian</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Macau):</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term B Delayed Draw Project</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan, 4.70%, 5/25/12</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,127</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,125,877</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="35%"></TD>

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLACKROCK LIMITED DURATION INCOME TRUST</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MAY 31, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

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

<P style="TEXT-ALIGN: left"><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#000080 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(continued) <BR></FONT><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="44%"></TD>

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

   <TD width="15%"></TD>

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

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(concluded)</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>VML US Finance LLC (FKA Venetian</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Macau) (concluded):</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term B Funded Project Loan,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4.70%, 5/27/13</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,951</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 1,949,186</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>28,850,249</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Household Durables &#8212; 0.2%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Berkline/Benchcraft Holdings LLC,</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan, 14.00%, 11/03/11</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(c)(i)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>139</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,972</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Visant Corp. (FKA Jostens), Term</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan B, 5.25%, 12/22/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,146</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,145,290</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=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,152,262</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>IT Services &#8212; 1.8%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Ceridian Corp., 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3.19%, 11/10/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,624</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,578,522</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 4px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Extended Term Loan B, 4.19%,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/23/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,733</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,414,382</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2.94%, 9/24/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>325</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>303,527</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2.94%, 9/24/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>246</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>229,777</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2.94%, 9/24/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>109</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>101,428</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>infoGROUP, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.75%, 5/22/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,191,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>TransUnion LLC, Replacement</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan, 4.75%, 2/12/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,272</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,283,003</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Travelex America Holdings, Inc.:</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Tranche B5, 2.93%,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10/31/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>439</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>437,255</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Tranche C5, 3.43%, 10/31/14</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>436</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>433,517</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11,972,411</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Independent Power Producers &amp;</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Energy Traders &#8212; 1.0%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AES Corp., Term Loan B, 3.51%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/17/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,498,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Calpine 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4.50%, 4/02/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,300</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,304,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Texas Competitive Electric</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Holdings Co., LLC (TXU), Initial</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 4.71%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10/10/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,843</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,420,582</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,223,776</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Industrial Conglomerates &#8212; 0.6%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Sequa Corp., Term Loan, 3.56%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12/03/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,824</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,800,945</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Tomkins Plc, Term Loan A, 4.25%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9/29/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,362</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,367,385</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,168,330</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Media &#8212; 7.2%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Acosta, Inc., Term Loan, 4.75%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/01/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,501,500</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="46%"></TD>

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

   <TD width="15%"></TD>

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

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Media (concluded)</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Affinion Group, 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: 2px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan, 5.00%, 10/10/16 USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,485</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 1,483,893</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc.</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan, 2.44%, 7/03/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,990</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,852,589</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Tranche 1 Incremental 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan, 7.50%, 7/03/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,052</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,052,885</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Charter Communications Operating,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan B, 7.25%, 3/06/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>64</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>64,564</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan C, 3.56%, 9/06/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,067</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,068,075</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Clear Channel 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Inc., Term Loan B, 3.84%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1/28/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,385</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,084,557</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Getty Images, Inc., Initial 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan, 5.25%, 11/07/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,985</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,001,791</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>HMH Publishing Co., Ltd., Tranche</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>A Term Loan, 6.03%, 6/12/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,227</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,040,238</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Hubbard Broadcasting, Second</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Lien Term Loan B, 5.25%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/28/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>905,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Intelsat Jackson Holdings S. 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(FKA Intelsat Jackson Holdings,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.25%, 4/02/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,500</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,531,317</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Interactive Data 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4.75%, 2/12/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,400</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,405,986</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Lavena Holding 3 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Facility B1, 3.68%, 3/06/15</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>304</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>398,651</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Facility C1, 3.93%, 3/04/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>304</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>398,651</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Lavena Holdings 4 GmbH, Second</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Lien Term Loan, 5.05%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9/02/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>904</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,156,010</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MCNA Cable 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan, 6.97%, 10/31/13 (j)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,858</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,821,085</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Mediacom Illinois, LLC (FKA</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Mediacom 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.50%, 3/31/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>985</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>987,463</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Newsday LLC, Fixed Rate 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan, 10.50%, 8/01/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,505</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,786,563</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Springer Science+Business Media</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SA, Facility A1, 6.75%, 6/30/15 EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,880,183</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Sunshine Acquisition Ltd. (FKA HIT</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Entertainment), Term 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.52%, 6/01/12</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,986</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,961,927</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>UPC Broadband Holding B.V., 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>U, 5.24%, 12/31/17</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,493</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,144,178</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Univision 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Extended First Lien 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4.44%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,062</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,956,885</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Weather Channel, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4.25%, 2/13/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,496</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,504,355</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>46,988,971</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="35%"></TD>

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLACKROCK LIMITED DURATION INCOME TRUST</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MAY 31, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

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



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

<!--$$/page=--><A name="page_11"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#000080 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(continued) <BR></FONT><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="46%"></TD>

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

   <TD width="15%"></TD>

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

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 0.9%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Novelis Inc., Term Loan, 4.00%,</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/10/17</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,342</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 3,355,202</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Walter Energy, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4.00%, 4/02/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,550</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,555,215</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,910,417</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Multi-Utilities &#8212; 0.1%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>FirstLight Power 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(FKA NE Energy, Inc.), Term 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Advance (First Lien), 2.81%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11/01/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>395,316</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Mach Gen, LLC, Synthetic Letter of</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Loan (First Lien), 2.31%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2/22/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>69</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>63,984</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>459,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Multiline Retail &#8212; 0.7%</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 size=1 face=FranklinGothic-Book,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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Facility B, 3.25%, 7/06/15</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>344</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>492,163</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Facility C, 4.00%, 7/05/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>344</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>492,164</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Facility D, 6.25%, 1/05/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,600</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,694,888</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,679,215</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212;</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.8%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Obsidian Natural Gas Trust, 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="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan, 7.00%, 11/02/15</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,143</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,219,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 0.4%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Georgia-Pacific 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2.31%, 12/21/12</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,184</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,180,606</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Verso Paper Finance 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7.29%, 2/01/13 (j)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>675</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>607,369</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,787,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Pharmaceuticals &#8212; 0.5%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Axcan Pharma, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.50%, 2/10/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,496</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,488,769</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Warner Chilcott 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan B-1, 4.25%,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/15/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>914</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>915,995</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan B-3, 4.25%,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/15/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>629</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>629,746</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Warner Chilcott 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>B-2, 4.25%, 3/15/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>457</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>457,997</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,492,507</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Professional Services &#8212; 0.4%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Booz Allen Hamilton, Inc., Tranche</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>B Term Loan, 4.00%, 8/03/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>775</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>778,460</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fifth Third Processing Solutions,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>LLC, Term Loan B (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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4.75%, 11/03/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,995</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,995,997</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,774,457</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="58%"></TD>

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

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

<TR vAlign=bottom>

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Real Estate Investment Trusts</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(REITs) &#8212; 0.9%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>iStar Financial, Inc., Term Loan</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Second Lien), 5.00%, 6/28/13 USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 6,168,259</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Real Estate Management &amp;</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Development &#8212; 1.3%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Pivotal Promontory, LLC, Term</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan (Second Lien), 3.25%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8/31/11 (c)(i)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>---</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Realogy Corp.:</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Extended Synthetic Letter of</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Loan, 4.64%, 10/10/16</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>385</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>357,860</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Extended Term Loan B, 4.52%,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10/10/16</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8,880</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8,253,782</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=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8,611,642</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Equipment &#8212; 0.2%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Freescale Semiconductor, Inc.,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Extended Maturity Term Loan,</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4.46%, 12/01/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,060</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,055,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Software &#8212; 0.1%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bankruptcy Management</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Solutions, Inc., Term Loan B New</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>First Lien Term Loan, 7.50%,</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8/20/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>719</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>359,680</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Specialty Retail &#8212; 1.6%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Burlington Coat Factory</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Warehouse Corp., Term Loan B,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.25%, 2/18/17</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>599</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>598,201</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>General Nutrition Centers, Inc.,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan B, 4.25%, 3/02/18</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,175</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,176,631</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Michaels Stores, Inc.:</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan B-1, 2.56%,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10/31/13</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,870</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,844,867</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan B-2, 4.81%,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7/31/16</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>463</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>463,908</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Petco Animal Supplies, Inc., Term</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan B, 4.50%, 11/24/17</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,228</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,225,511</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Sensata Technologies Finance</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Company, LLC, New Term Loan,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3.27%, 5/11/18</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,702,479</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Toys 'R' Us Delaware, Inc., Initial</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan, 6.00%, 9/01/16</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,633</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,634,920</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10,646,517</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Trading Companies &amp; Distributors &#8212; 0.0%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Beacon Sales Acquisition, Inc.,</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Term Loan B, 2.30%, 9/30/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>122</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>119,321</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="55%"></TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLACKROCK LIMITED DURATION INCOME TRUST</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MAY 31, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#000080 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(continued) <BR></FONT><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="44%"></TD>

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

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

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

<TR vAlign=bottom>

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

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Wireless Telecommunication</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Services &#8212; 1.5%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Digicel International Finance Ltd.,,</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>US Term Loan (Non-Rollover),</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2.81%, 3/30/12</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>337</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 331,269</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MetroPCS Wireless, Inc., 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan B, 4.00%, 3/16/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,496</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,489,393</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Vodafone Americas Finance 2 Inc.,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Initial Loan, 6.88%, 8/11/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8,024</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8,264,520</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10,085,182</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total Floating Rate Loan Interests &#8211; 45.1%</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>294,106,674</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Non-Agency Mortgage-Backed</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</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></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Collateralized Mortgage</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Obligations &#8212; 5.5%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Adjustable Rate Mortgage Trust,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2007-1, Class 3A21,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.78%, 3/25/37 (b)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,917</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,664,915</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Citicorp Mortgage Securities, Inc.,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2006-2, Class 1A7,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.75%, 4/25/36</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,679</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,696,004</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Countrywide Alternative 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: 2px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Trust, Series 2005-54CB, Class</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3A4, 5.50%, 11/25/35</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,488</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,206,531</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Countrywide Home Loan Mortgage</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Pass-Through Trust:</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2005-17, Class 1A6,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.50%, 9/25/35</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,008</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,955,436</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2006-17, 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.00%, 12/25/36</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,085</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,475,487</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2007-16, Class 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6.50%, 10/25/37</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,423</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,178,187</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2007-HY5, Class 3A1,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.96%, 9/25/37 (b)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,603</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,917,652</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>GSR Mortgage Loan Trust, Series</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2005-AR5, Class 2A3, 2.94%,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10/25/35 (b)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,750</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,160,757</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Harborview Mortgage Loan Trust,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2005-8, Class 1A2A,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.53%, 9/19/35</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,050</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,680,770</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Morgan Stanley Reremic 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2010-R4, Class 4A,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.44%, 2/26/37 (a)(b)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,248</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,117,981</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>WaMu Mortgage Pass Through</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Certificates, Series 2006-AR14,</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Class 1A1, 5.41%, 11/25/36 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,387</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,243,583</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="46%"></TD>

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

   <TD width="15%"></TD>

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

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Non-Agency Mortgage-Backed</FONT>&nbsp;</TD>

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

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Collateralized Mortgage Obligations</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(concluded)</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Wells Fargo Mortgage Backed</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities Trust, Series 2005-</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AR2, Class 2A1, 2.74%,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/25/35 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,508</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 2,193,405</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>35,490,708</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Commercial Mortgage-Backed</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities &#8212; 8.8%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Banc of America Commercial Mortgage,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2007-3, 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: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.62%, 6/10/49</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,043</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,104,223</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2007-4, Class A4,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.74%, 2/10/51</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,150</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,381,993</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Centre Parcs Mortgage Finance</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Plc, Series 2007-1, Class A2,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2.86%, 10/10/18</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,953</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,100,240</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Citigroup/Deutsche Bank</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2007-CD4, Class A2B,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.21%, 12/11/49</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,335</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,362,877</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse Mortgage Capital</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Certificates (b):</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2006-C5, Class AM,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.34%, 12/15/39</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,440</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,444,856</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2007-C2, Class A2,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.45%, 1/15/49</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,823</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,845,543</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2007-C3, Class A2,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.72%, 6/15/39</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,886</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,966,083</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Extended Stay America Trust,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2010-ESHA, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4.86%, 11/05/27 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,320</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,422,413</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>First Union Commercial Mortgage</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities, Inc., Series 1997-C2,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Class G, 7.50%, 11/18/29</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,310</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,626,879</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Greenwich Capital Commercial Funding</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Corp.:</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2006-GG7, Class AM,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.88%, 7/10/38 (b)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,610</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,694,959</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2007-GG9, Class A4,</FONT>&nbsp;</TD>

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

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

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.44%, 3/10/39</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,110</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,285,219</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>GS Mortgage Securities Corp. II,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2006-GG6, Class AM,</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.62%, 4/10/38 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,680</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,783,221</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>JP Morgan Chase Commercial Mortgage</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2007-CB18, Class A4,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.44%, 6/12/47</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,110</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,295,134</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 2007-CB19, Class A4,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.74%, 2/12/49 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,140</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,357,797</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>LB-UBS Commercial Mortgage</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Trust, Series 2007-C6, 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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.86%, 7/15/40 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,395</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,677,940</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Morgan Stanley Capital I, Series</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2007-IQ15, Class A2, 5.84%,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6/11/49 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,007</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,069,482</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="55%"></TD>

   <TD width="35%"></TD>

   <TD width="9%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLACKROCK LIMITED DURATION INCOME TRUST</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MAY 31, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_13"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#000080 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(continued) <BR></FONT><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="44%"></TD>

   <TD width="11%"></TD>

   <TD width="17%"></TD>

   <TD width="26%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Non-Agency Mortgage-Backed</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Commercial 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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(concluded)</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Wachovia Bank Commercial Mortgage</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Trust 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 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Class A2, 5.85%, 2/15/51</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>14,531</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 14,867,549</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Class A4, 5.90%, 2/15/51</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,030</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,229,708</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>57,516,116</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total Non-Agency Mortgage-Backed</FONT>&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><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities &#8211; 14.3%</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>93,006,824</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Beneficial</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Interest</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Other Interests (k)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Auto Components &#8212; 1.5%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Delphi Debtor-in-Possession</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Membership Interests</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;(l)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9,841,236</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Lear Corp. Escrow</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,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=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9,868,736</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 0.2%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>J.G. Wentworth LLC Preferred</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" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Equity Interests (m)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,450,307</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 0.0%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Critical Care Systems</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" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>International, 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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>762</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Household Durables &#8212; 0.0%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Berkline Benchcraft Equity LLC</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>-</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total Other Interests &#8211; 1.7%</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11,319,805</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Preferred Securities</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></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Capital Trust</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 0.5%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>GMAC Capital Trust I, 8.13%,</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" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2/15/40</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>130,860</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,437,692</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Preferred Stocks</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Shares</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.1%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dana Holding Corp. (a)(f)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>933,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Media &#8212; 0.1%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>CMP Susquehanna Radio Holdings</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Corp. (a)(c)(n)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>45,243</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>384,566</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total Preferred Stocks &#8211; 0.2%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,317,566</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total Preferred Securities &#8211; 0.7%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,755,258</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="43%"></TD>

   <TD width="12%"></TD>

   <TD width="17%"></TD>

   <TD width="26%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Taxable Municipal Bonds</FONT>&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><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>State of California, GO:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.25%, 4/01/14</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,075</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 1,160,237</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.10%, 8/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,225</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,297,602</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Various Purpose 3, Mandatory</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Put Bonds 5.65%, 4/01/39 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>625</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>667,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>State of Illinois, GO, 3.32%,</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" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1/01/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,075</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,169,344</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total Taxable Municipal Bonds &#8211; 1.4%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9,294,433</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>U.S. Government Sponsored</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Agency Securities</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></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Interest Only Collateralized</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=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Mortgage Obligations &#8212; 0.7%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fannie Mae Mortgage-Backed</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities, Series 2010-126,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Class UI, 5.50%, 10/25/40</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>15,193</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,829,898</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Ginnie Mae Mortgage-Backed</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities, Series 2010-162,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Class WI, 4.50%, 6/16/39</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,549</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,228,252</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,058,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Mortgage-Backed Securities &#8212; 9.4%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fannie Mae Mortgage-Backed</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4.50%, 6/13/11 (o)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>17,300</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>17,970,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.00%, 7/01/20 - 8/01/23 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>19,077</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>20,636,468</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Freddie Mac Mortgage-Backed</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities, 4.50%, 4/01/25</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>21,347</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>22,756,752</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>61,363,595</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total U.S. Government Sponsored</FONT>&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><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Agency Securities &#8211; 10.1%</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>65,421,745</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Warrants (p)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Shares</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Media &#8212; 0.1%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>CMP Susquehanna Radio Holdings</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Corp. (Expires 3/23/19)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>51,701</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>432,021</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Software &#8212; 0.0%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bankruptcy Management</FONT>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Solutions, Inc.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>435</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>-</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>209,988</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>-</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total Warrants &#8211; 0.1%</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>432,021</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total Long-Term Investments</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" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Cost &#8211; $889,202,000) &#8211; 139.0%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>905,838,766</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="55%"></TD>

   <TD width="35%"></TD>

   <TD width="9%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLACKROCK LIMITED DURATION INCOME TRUST</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MAY 31, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_14"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#000080 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(continued) <BR></FONT><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="53%"></TD>

   <TD width="23%"></TD>

   <TD width="22%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Options Purchased</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Over-the-Counter Call Options &#8212; 0.0%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Strike Price USD 942.86, Expires</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12/21/19</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>46</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8211; </FONT></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Over-the-Counter Put Swaptions &#8212; 0.0%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bought credit default protection on</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dow Jones CDX North America</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>High Yield Index, Series 16, Strike</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Price $99, Expires 9/21/11,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Broker Morgan Stanley Capital</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: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Services Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 6px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,400</FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;$<FONT size=3 face="Times New Roman">&nbsp;</FONT>116,180</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total Options Purchased</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><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Cost &#8211; $144,878) &#8211; 0.0%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>116,180</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total Investments Before Options Written</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Cost &#8211; $889,346,878*) &#8211; 139.0%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>905,954,946</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Options Written</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Over-the-Counter Call Swaptions &#8212; 0.0%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Sold credit default protection on Dow</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Jones CDX North America High</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Yield Index Series 16, Strike Price</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$102.50, Expires 09/21/11,</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Broker Morgan Stanley Capital</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Services, Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 6px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,400</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(64,380)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Sold credit default protection on Dow</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Jones CDX North America High</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Yield Index Series 16, Strike Price</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$102.50, Expires 9/21/11, Broker</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Morgan Stanley Capital Services,</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 6px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,400</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(215,340)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Sold credit default protection on Dow</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Jones CDX North America</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Investment Grade Series 16,</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Strike Price $120, Expires</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12/21/11, Broker Morgan Stanley</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Capital Services, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 6px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(30,415)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total Options Written</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Premiums Received &#8211; $306,050) &#8211; 0.0%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(310,135)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total Investments, Net of Options Written &#8211; 139.0%</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>905,644,811</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#8211; (39.0)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(253,872,136)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Net Assets &#8211; 100.0%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 651,772,675</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><BR>* The cost and unrealized appreciation (depreciation) of investments as</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>of May 31, 2011, as computed for federal income tax purposes, were</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="56%"></TD>

   <TD width="43%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 886,766,374</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 35,741,542</FONT>&nbsp;</TD></TR>

<TR height=20>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT></TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(16,567,070) </FONT></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Net&nbsp;unrealized appreciation&nbsp;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 19,174,472</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><BR>(a) Security exempt from registration under Rule 144A of the Securities</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Act of 1933. These securities may be resold in transactions exempt</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>from registration to qualified institutional investors.</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(b) Variable rate security. Rate shown is as of report date and maturity</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>shown is the date the principal owed can be recovered through</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>demand.</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(c) Non-income producing security.</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(d) All or a portion of security has been pledged as collateral in connection</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>with open reverse repurchase agreements.</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(e) When-issued security. Unsettled when-issued transactions were as</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="43%"></TD>

   <TD width="35%"></TD>

   <TD width="21%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Unrealized</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Counterparty</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Appreciation</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Citigroup Global Markets</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 1,302,900&nbsp;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$22,394</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche Bank Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 859,562&nbsp;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$9,563</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>JP Morgan Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 4,651,807</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;$106,808</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Morgan Stanley &amp; Co.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 2,115,850 </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$<FONT size=3 face="Times New Roman">&nbsp;</FONT>25,850</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><BR>(f) Convertible security.</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(g) Represents a zero-coupon bond. Rate shown reflects the current yield</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of report date.</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(h) Represents a step-down bond that pays an initial coupon rate for the</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>first period and then a lower coupon rate for the following periods.</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Rate shown is as of report date.</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(i) Issuer filed for bankruptcy and/or is in default of interest payments.</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(j) Represents a payment-in-kind security which may pay</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>interest/dividends in additional par/shares.</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(k) Other interests represent beneficial interest in liquidation trusts and</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>other reorganization entities and are non-income producing.</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(l) Amount is less than $1,000.</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(m)The investment is held by a wholly-owned taxable subsidiary of the</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund.</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(n) Security is perpetual in nature and has no stated maturity date.</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(o) Represents or includes a to-be-announced (&#8220;TBA&#8221;) transaction.<BR></FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Unsettled TBA transactions as of report date were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="49%"></TD>

   <TD width="29%"></TD>

   <TD width="21%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Unrealized</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Counterparty</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Appreciation</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse Securities (USA) LLC</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 17,970,375&nbsp;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$324,375</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><BR>(p) Warrants entitle the Trust to purchase a predetermined number of</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>shares of common stock and are non-income producing. The purchase</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>price and number of shares are subject to adjustment under certain</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>conditions until the expiration date, if any.</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="55%"></TD>

   <TD width="35%"></TD>

   <TD width="9%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLACKROCK LIMITED DURATION INCOME TRUST</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MAY 31, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>13</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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<P style="TEXT-ALIGN: left"><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;</FONT><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#000080 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(continued)</FONT></P>

<P style="TEXT-ALIGN: left"><FONT style="FONT-FAMILY: Arial" size=1>&#8226; </FONT><FONT style="FONT-FAMILY: Arial"><FONT size=1>For Trust compliance purposes, the Trust&#8217;s industry classifications refer to</FONT><BR><FONT size=1>any one or more of the industry sub-classifications used by one or more</FONT><BR><FONT size=1>widely recognized market indexes or rating group indexes, and/or as</FONT><BR><FONT size=1>defined by Trust management. This definition may not apply for purposes</FONT><BR><FONT size=1>of this report, which may combine such industry sub-classifications for</FONT><BR><FONT size=1>reporting ease.</FONT></FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226;Financial futures contracts purchased as of May 31, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="14%"></TD>

   <TD width="14%"></TD>

   <TD width="16%"></TD>

   <TD width="19%"></TD>

   <TD width="17%"></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=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notional</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Unrealized</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Issue</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;&nbsp; Exchange&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expiration</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Appreciation</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>90 Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>

   <TD colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp; June 2011&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$ 2,988,633</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 3,492</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Board of</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>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dollars</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Trade</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>90 Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>September</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,987,133</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,967</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Board of</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dollars</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Trade</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>90 Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>December</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2984,133</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,867</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Board of</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2011</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dollars</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Trade</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>90 Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>March 2012</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,798,883</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,417</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Board of</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dollars</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Trade</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>90 Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>June 2012</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,980,322</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,878</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Board of</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>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dollars</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Trade</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>90 Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>September</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,973,922</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8,978</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Board of</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2012</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dollars</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Trade</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>90 Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>March 2013</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,962,722</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10,278</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Board of</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dollars</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Trade</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>90 Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>June 2013</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,467,917</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8,084</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Board of</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dollars</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Trade</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>90 Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>September</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,464,242</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,933</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Board of</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2013</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dollars</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Trade</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>90 Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>December</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,460,567</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,559</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Board of</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2013</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dollars</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Trade</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>90 Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>March 2014</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,457,267</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,183</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Board of</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>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dollars</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Trade</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></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 73,636</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226;Financial futures c</FONT><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ontracts sold as of May 31, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="10%"></TD>

   <TD width="13%"></TD>

   <TD width="13%"></TD>

   <TD width="16%"></TD>

   <TD width="21%"></TD>

   <TD width="25%"></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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notional</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Unrealized</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Contracts&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Issue&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Exchange</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Expiration</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Depreciation</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>28</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;10-Year&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Chicago&nbsp;&nbsp;</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>September</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 3,427,322</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ (5,741)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Board of</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Treasury</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Trade</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Note</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>28</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5-Year</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>September</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,329,322</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ (6,615)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Board of</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2011</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Treasury</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Trade</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>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Note</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>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total</FONT>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ (12,356)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><BR>&#8226;Credit default swaps on single-name issues &#8211; buy protection outstanding as of May</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>31, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="16%"></TD>

   <TD width="10%"></TD>

   <TD width="19%"></TD>

   <TD width="18%"></TD>

   <TD width="19%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Pay</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notional</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fixed</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Expiration</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Amount</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Unrealized</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Issuer</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Rate</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Counterparty</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Date</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Depreciation</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>K.</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5.00%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Goldman</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9/20/13</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 300</FONT></TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;$<FONT size=3 face="Times New Roman">&nbsp;</FONT>(599)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Hovnanian</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Sachs &amp; Co.</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Enterprises,</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="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Inc.</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></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226;Credit default swaps on single-name issues &#8211; sell protection outstanding as of May</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>31, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="13%"></TD>

   <TD width="12%"></TD>

   <TD width="19%"></TD>

   <TD width="14%"></TD>

   <TD width="10%"></TD>

   <TD width="13%"></TD>

   <TD width="16%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Receive</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notional</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fixed</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Expiration&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Credit</FONT>&nbsp;&nbsp; </TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Amount</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Unrealized</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Issuer</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Rate</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Counterparty</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Date</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Rating</FONT><SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(000) </FONT><SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Appreciation</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Aviva USA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1.00%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/25/12</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BBB+&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ 4,700</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,588</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Corp.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</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"><SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Using Standard and Poor&#8217;s ratings.</FONT><BR><SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>The maximum potential amount the Trust may be required to pay should a</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>negative credit event take place as defined under the terms of agreement.</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><BR>&#8226;Credit default swaps on traded indexes &#8211; buy protection outstanding as of May</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>31, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="16%"></TD>

   <TD width="33%"></TD>

   <TD width="17%"></TD>

   <TD width="32%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;&nbsp; Pay</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;&nbsp; Notional</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp; Fixed</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Expiration</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;&nbsp; Amount&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unrealized</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Index</FONT>&nbsp;&nbsp; </TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;&nbsp; Rate&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Counterparty</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Date</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;&nbsp; (000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Depreciation</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dow Jones</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp; 1.00%&nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6/20/16</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp; $ 7,700&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ (4,889)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>North</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &amp; Co, Inc.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Investment</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Grade Index</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Series 16</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></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="55%"></TD>

   <TD width="35%"></TD>

   <TD width="9%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLACKROCK LIMITED DURATION INCOME TRUST</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MAY 31, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>14</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_16"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;</FONT><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#000080 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(continued)</FONT></P>

<P style="TEXT-ALIGN: left"><SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT></SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of May 31, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="20%"></TD>

   <TD width="16%"></TD>

   <TD width="23%"></TD>

   <TD width="16%"></TD>

   <TD width="23%"></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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Unrealized</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Currency</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Settlement</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Appreciation</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Purchased</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Currency Sold&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Counterparty</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Date</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Depreciation)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7/7/11</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;$(172,404)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7/7/11</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(46,675)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7/7/11</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(9,545)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7/7/11</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12,741</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Citibank N.A.</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7/27/11</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7/27/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>258,839</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 43,172</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226;Reverse repurchase agreements outstanding as of May 31, 2011 were as</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="17%"></TD>

   <TD width="11%"></TD>

   <TD width="14%"></TD>

   <TD width="15%"></TD>

   <TD width="16%"></TD>

   <TD width="24%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=4 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;Interest&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trade&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Maturity&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Closing</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 7px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Face</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Counterparty Rate</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Date</FONT>&nbsp;&nbsp;&nbsp;&nbsp; </TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Date</FONT><SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;&nbsp;&nbsp; </TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Amount</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;Amount</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Capital, Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11/1/10</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open </FONT></TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$<FONT size=3 face="Times New Roman">&nbsp;</FONT>2,037,789</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 2,033,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>UBS</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>LLC</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2/28/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,843,758</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,841,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/17/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,338,343</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,336,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/24/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,283,912</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,282,438</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/24/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>712,606</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>711,787</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/24/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,610,600</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,608,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/25/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,989,127</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,986,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/25/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,369,446</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,364,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/25/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,641,923</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,637,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/28/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,615,287</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,612,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/28/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,184,459</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,180,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.58%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/29/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,380,664</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,378,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/29/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>685,405</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>684,675</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/31/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,690,933</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,689,187</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3/31/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,876,981</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,875,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/5/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,285,016</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,280,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226;Reverse repurchase agreements outstanding as of May 31, 2011 were as </FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>follows (continued):</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="17%"></TD>

   <TD width="11%"></TD>

   <TD width="14%"></TD>

   <TD width="15%"></TD>

   <TD width="16%"></TD>

   <TD width="24%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=4 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;Interest&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trade&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Maturity&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Closing</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 7px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Face</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Counterparty&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Rate</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Date</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Date</FONT><SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Amount</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Amount</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/5/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open </FONT></TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$<FONT size=3 face="Times New Roman">&nbsp;</FONT>2,579,298</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 2,576,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/5/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,093,688</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,092,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/11/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>390,332</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>390,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/11/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,692,721</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,690,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/13/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>994,011</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>993,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>898,904</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>898,425</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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 align=left><FONT size=1 face=FranklinGothic-Book,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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>570,330</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>569,912</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/15/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,874,431</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,872,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/15/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,197,148</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,195,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/15/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,182,138</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,180,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/15/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,152,118</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,150,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/15/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,278,902</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,277,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/18/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>656,071</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>655,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/20/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,294,000</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,292,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/28/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,206,064</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,205,456</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/28/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,575,582</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,573,780</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/28/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,504,133</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,503,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/28/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>836,782</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>836,360</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/28/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>859,753</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>859,320</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/28/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,235,498</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,234,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/28/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>950,479</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>950,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/28/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>649,077</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>648,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/28/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>537,021</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>536,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/28/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>934,721</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>934,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/28/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>905,466</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>905,010</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="55%"></TD>

   <TD width="35%"></TD>

   <TD width="9%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLACKROCK LIMITED DURATION INCOME TRUST</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MAY 31, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>15</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_17"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;</FONT><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#000080 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(continued)</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226;Reverse repurchase agreements outstanding as of May 31, 2011 were as</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>follows (continued):</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="17%"></TD>

   <TD width="11%"></TD>

   <TD width="14%"></TD>

   <TD width="14%"></TD>

   <TD width="21%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=4 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;Interest&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trade&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Maturity&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net Closing</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Face</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Counterparty&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Rate</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Date</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Date</FONT><SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Amount</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Amount</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4/28/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$782,044</FONT></TD>

   <TD style="TEXT-INDENT: 3px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$<FONT size=3 face="Times New Roman">&nbsp;</FONT>781,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Capital, Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/2/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,072,274</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,071,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/2/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,593,143</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,590,122</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/2/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,690,845</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,690,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Capital, Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/3/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,180,024</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,179,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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 align=left><FONT size=1 face=FranklinGothic-Book,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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.45%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/3/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,379,299</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,377,713</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.50%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/3/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,175,431</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,173,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>UBS</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>LLC</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/3/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,782,444</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,781,660</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Capital, Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/4/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,068,454</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,067,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Capital, Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/4/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,290,642</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,288,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Capital, Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/4/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,098,464</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,097,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Capital, Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/4/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,015,938</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,015,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Capital, Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/4/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,990,619</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,990,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Capital, Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/4/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,896,934</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,895,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/4/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,544,948</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,544,288</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/4/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,777,238</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,776,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/4/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,970,735</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,969,465</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/4/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,488,564</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,487,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/4/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,115,905</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,115,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/4/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,471,347</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,470,290</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/4/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,285,710</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,285,160</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Capital, Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/5/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,316,894</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,315,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226;Reverse repurchase agreements outstanding as of May 31, 2011 were as</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>follows (continued):</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="17%"></TD>

   <TD width="11%"></TD>

   <TD width="13%"></TD>

   <TD width="14%"></TD>

   <TD width="22%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=4 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;Interest&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trade&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Maturity&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net Closing</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Face</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Counterparty&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rate</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Date</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Date</FONT><SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Amount</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Amount</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>UBS</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 size=1 face=FranklinGothic-Book,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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>LLC</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.54%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/10/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT></TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$<FONT size=3 face="Times New Roman">&nbsp;</FONT>535,452</FONT></TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$<FONT size=3 face="Times New Roman">&nbsp;</FONT>535,275</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>UBS</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>LLC</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.54%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/10/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>591,400</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>591,205</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>UBS</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>LLC.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.54%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/10/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>816,995</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>816,725</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>UBS</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>LLC</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.54%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/10/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>694,541</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>694,312</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/10/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>341,825</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>341,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BNP Paribas</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.13%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/11/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6/13/11</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>41,986,151</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>41,981,148</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/13/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,647,100</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,646,263</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/13/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>211,567</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>211,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/16/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,295,162</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,293,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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 align=left><FONT size=1 face=FranklinGothic-Book,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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/16/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>974,638</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>974,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.58%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/17/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,815,974</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,814,810</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/19/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,156,667</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,156,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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 align=left><FONT size=1 face=FranklinGothic-Book,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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/19/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>932,345</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>932,160</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/19/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,341,516</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,341,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/20/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,192,909</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,192,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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 align=left><FONT size=1 face=FranklinGothic-Book,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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.45%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/20/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,256,951</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,256,763</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.45%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/20/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>841,626</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>841,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/23/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,985,284</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2,985,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/23/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,474,221</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,474,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/23/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,660,699</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,660,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/24/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,502,325</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,502,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/25/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>315,034</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>315,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="55%"></TD>

   <TD width="35%"></TD>

   <TD width="9%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLACKROCK LIMITED DURATION INCOME TRUST</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MAY 31, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>16</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_18"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#000080 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(continued)</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226;Reverse repurchase agreements outstanding as of May 31, 2011 were as</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>follows (conc</FONT><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>luded):</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="17%"></TD>

   <TD width="11%"></TD>

   <TD width="14%"></TD>

   <TD width="15%"></TD>

   <TD width="16%"></TD>

   <TD width="24%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=4 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;Interest&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Trade&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Maturity&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net Closing</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 7px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Face</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Counterparty&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Rate</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Date</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Date</FONT><SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Amount</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Amount</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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 align=left><FONT size=1 face=FranklinGothic-Book,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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/25/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open </FONT></TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$<FONT size=3 face="Times New Roman">&nbsp;</FONT>1,470,570</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 1,470,412</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/25/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,181,376</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,181,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/25/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>694,881</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>694,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/25/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,364,909</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,364,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/25/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>617,622</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>617,550</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Deutsche</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/25/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>705,982</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>705,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/31/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,017,516</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,017,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(USA), Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5/31/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,511,850</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,511,825</FONT>&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 style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 238,609,596</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Certain agreements have no stated maturity and can be terminated by</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>either party at any time.</FONT><BR><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226;Fair Value Measurements &#8211; Various inputs are used in determining the fair</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>value of investments and derivative financial instruments. These inputs are</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>summarized in three broad levels for financial reporting purposes as follows:</FONT><BR><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226;Level 1 &#8212; price quotations in active markets/exchanges for identical assets</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>and liabilities</FONT><BR><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; Level 2 &#8212; other observable inputs (including, but not limited to: quoted</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>prices for similar assets or liabilities in markets that are active, quoted</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>prices for identical or similar assets or liabilities in markets that are not</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>active, inputs other than quoted prices that are observable for the assets or</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>liabilities (such as interest rates, yield curves, volatilities, prepayment</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>speeds, loss severities, credit risks and default rates) or other market-</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>corroborated inputs)<BR></FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; Level 3 &#8212; unobservable inputs based on the best information available in</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>the circumstances, to the extent observable inputs are not available</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(including the Trust&#8217;s own assumptions used in determining the fair value of</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>investments and derivative financial instruments)</FONT><BR><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>The inputs or methodologies used for valuing securities are not necessarily an</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>indication of the risk associated with investing in those securities. For</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>information about the Trust&#8217;s policy regarding valuation of investments and</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>derivative financial instruments and other significant accounting policies,</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>please refer to the Trust&#8217;s most recent financial statements as contained in its</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>semi-annual report.</FONT><BR><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of May 31, 2011 in</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>determining the fair valuation of the Trust&#8217;s investments and derivative</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>financial instruments:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="24%"></TD>

   <TD width="20%"></TD>

   <TD width="18%"></TD>

   <TD width="18%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Valuation Inputs</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Level 1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Level 2</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Level 3</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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 size=1 face=FranklinGothic-Book,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 align=left><FONT size=1 face=FranklinGothic-Book,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: 3px" align=left><FONT size=1 face=FranklinGothic-Book,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 align=left><FONT size=1 face=FranklinGothic-Book,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: 3px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 11px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT></TD>

   <TD colSpan=2 align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;$<FONT size=3 face="Times New Roman">&nbsp;</FONT>32,807,212&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$12,527,623</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$45,334,835</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Common Stocks</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 11px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>640,720</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,709,819</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,350,539</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Corporate Bonds.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 11px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>376,630,567</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>186,065</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>376,816,632</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Floating Rate</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan Interests</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 11px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>249,834,261</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>44,272,413</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>294,106,674</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Mortgage-</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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: 3px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 11px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>89,888,843</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,117,981</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>93,006,824</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 11px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9,841,236</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1,478,569</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11,319,805</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Taxable Municipal</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bonds</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 12px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9,294,433</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9,294,433</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>U.S. Government</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Sponsored</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Agency</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 11px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>65,421,745</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>65,421,745</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Preferred</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 3,437,692</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>933,000</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>384,566</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4,755,258</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Warrants</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 11px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>432,021</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>432,021</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Liabilities</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Commitments</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 11px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(11,875)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(11,875)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp; $ 3,437,692&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$ 835,292,017&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$67,097,182&nbsp;&nbsp;&nbsp;&nbsp;$ 905,826,891</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="23%"></TD>

   <TD width="17%"></TD>

   <TD width="7%"></TD>

   <TD width="16%"></TD>

   <TD width="10%"></TD>

   <TD width="8%"></TD>

   <TD width="16%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Valuation Inputs</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Level 1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Level 2</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Level 3</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=3 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Derivative Financial Instruments</FONT><SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1</FONT></SUP>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Assets:</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 size=1 face=FranklinGothic-Book,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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 7px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 271,796</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;&nbsp; &#8212;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ 271,796</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 73,636</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>

   <TD style="TEXT-INDENT: 2px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle></TD>

   <TD align=left>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <FONT size=1 face=Arial>&#8212;</FONT></TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>73,636</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 7px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD colSpan=3 align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3,588&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ 116,180</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>119,768</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Liabilities:</FONT>&nbsp;</TD>

   <TD align=right>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Foreign currency</FONT>&nbsp;</TD>

   <TD align=right>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>

   <TD align=right>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 7px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(228,624)</FONT>&nbsp;</TD>

   <TD align=middle></TD>

   <TD align=left>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <FONT size=1 face=Arial>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(228,624)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Interest rate</FONT>&nbsp;</TD>

   <TD align=right>&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 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(12,356)</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>

   <TD style="TEXT-INDENT: 2px" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle></TD>

   <TD align=left>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <FONT size=1 face=Arial>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(12,356)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Credit contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 7px" align=right><FONT size=1 face=FranklinGothic-Book,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; TEXT-INDENT: 2px" colSpan=3 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (5,488)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(310,135)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(315,623)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT size=1 face=FranklinGothic-Book,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; $ 61,280</FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" colSpan=3 align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $<FONT size=3 face="Times New Roman">&nbsp;</FONT>41,272&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(193,955) </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$<FONT size=3 face="Times New Roman">&nbsp;</FONT>(91,403)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Derivative financial instruments are swaps, financial futures contracts,</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>foreign currency exchange contracts and options. Swaps, financial futures</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>contacts and foreign currency exchange contracts are valued at the</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>unrealized appreciation/depreciation on the instrument and options are</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>shown at value.</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="55%"></TD>

   <TD width="35%"></TD>

   <TD width="9%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLACKROCK LIMITED DURATION INCOME TRUST</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MAY 31, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>17</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_19"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#000080 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR><FONT color=#000080 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#000080 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(concluded)</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=FranklinGothic-Book,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="15%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="10%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD>

   <TD width="8%"></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=middle><FONT size=1 face=FranklinGothic-Book,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></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><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Mortgage-</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=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Asset-Backed</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Common</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Corporate</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Floating Rate</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Backed</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Other</FONT>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Preferred</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=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Stocks</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Bonds</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan Interests</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Interests</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Stocks</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Warrants</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Total</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Assets:</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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Balance, as of August</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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>31, 2010</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 2,092,187</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 1,247,224</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 3,412,781</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 62,160,894</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 3,770,000</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$1,856,579</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$266,770</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 74,806,435</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Accrued</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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>discounts/premiums</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>42,861</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>116,961</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>360,076</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,472</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>527,370</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(105,384)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(1,383,496)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(677,795)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(4,303,278)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>60,465</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>218,414</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>531,525</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(5,659,549)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,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=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: 1px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>depreciation</FONT><SUP><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(340,485)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(1,663,129)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(571,979)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7,243,188</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>32,147</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(71,094)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>330,406</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 432,015</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5,391,069</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Purchases</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11,464,183</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6,659,529</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>50,910</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11,132,785</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8,979</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>29,316,392</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Sales</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(625,739)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(150,309)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(2,145,087)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(27,412,855)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(752,103)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(534,309)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(744,135)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(32,364,537)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Transfers in</FONT><SUP><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>274</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>14,820,143</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>14,820,417</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Transfers out</FONT><SUP><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(19,728,540)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(19,728,540)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Balance, as of May 31,</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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$12,527,623</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 4,709,819</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 186,065</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$44,272,413</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 3,117,981</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 1,478,569</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$384,566</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ 432,021</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$67,109,057</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>The change in the unrealized appreciation/depreciation on the securities still held on May 31, 2011 was $(1,993,825).</FONT><BR><SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>The Trust&#8217;s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>transfer.</FONT><BR><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>derivatives at the beginning and/or end of the period in relation to net assets.</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="56%"></TD>

   <TD width="43%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Unfunded</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Loan</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=middle><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Commitments</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Liabilities:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right></TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Balance, as of August 31, 2010</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$<FONT size=3 face="Times New Roman">&nbsp;</FONT>(173,683)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Net change in unrealized</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 5px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>appreciation/depreciation</FONT><SUP><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">4</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>161,808</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Purchases</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Sales</FONT>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Transfers in</FONT><SUP><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">5</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Transfers out</FONT><SUP><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Balance, as of May 31, 2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>$ (11,875)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>The change in the unrealized appreciation/depreciation on the securities still held on May 31, 2011 was $(11,875).<BR></FONT>

   <P style="MARGIN: 0px" align=left><SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>The Trust&#8217;s policy is to recognize transfers in and transfers out as of the beginning</FONT><BR><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&nbsp; of the period of the event or the change in circumstances that caused the transfer.</FONT></P>&nbsp;</TD></TR></TABLE></DIV>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="55%"></TD>

   <TD width="35%"></TD>

   <TD width="9%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>BLACKROCK LIMITED DURATION INCOME TRUST</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>MAY 31, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>18</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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<P style="TEXT-ALIGN: left"><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 2 &#8211; Controls and Procedures</FONT><BR><BR><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2(a) &#8211; The registrant's principal executive and principal financial officers or persons performing</FONT><BR><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">similar functions have concluded that the registrant's disclosure controls and procedures (as</FONT><BR><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the</FONT><BR><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">31940 Act3)) areeffective as of a date within 90 days of the filing of this report based on the</FONT><BR><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act</FONT><BR><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.</FONT><BR><BR><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2(b) &#8211; There were no changes in the registrant's internal control over financial reporting (as defined</FONT><BR><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's last fiscal quarter</FONT><BR><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">that have materially affected, or are reasonably likely to materially affect, the registrant's</FONT><BR><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">internal control over financial reporting.</FONT><BR><BR><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 3 &#8211; Exhibits</FONT><BR><BR><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Certifications &#8211; 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</FONT><BR><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by</FONT><BR><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the undersigned, thereunto duly authorized.</FONT><BR><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">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: July 26, 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</FONT><BR><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Company Act of 1940, this report has been signed below by the following persons on behalf</FONT><BR><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of the registrant and in the 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: July 26, 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: July 26, 2011</FONT></P>

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<DESCRIPTION>CERTIFICATIONS
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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, 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-Q 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 schedules of investments included in this report fairly present in all material respects</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the investments of the registrant as of the end of the fiscal quarter for which the report is filed;</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 registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">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: July 26, 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>

<HR noshade align="center" width="100%" size=2><DIV STYLE="page-break-before: always"></div>



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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</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">SECTION 302 OF 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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Income Trust, certify that:</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1. I have reviewed this report on Form N-Q 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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">omit to state a material fact necessary to make the statements made, in light of the circumstances under</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">which such statements were made, 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 schedules of investments included in this report fairly present in all</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">material respects the investments of the registrant as of the end of the fiscal quarter for which the report is</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">filed;</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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">procedures to be designed under our supervision, to ensure that material information relating to the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">registrant, including its consolidated subsidiaries, is made known to us by others within those</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">entities, particularly during the period in 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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">over financial reporting to be designed under our supervision, to provide reasonable assurance</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">regarding the reliability of financial reporting and the preparation of financial statements for</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">external purposes in accordance with generally 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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">presented in this report our conclusions about the effectiveness of the disclosure controls and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">procedures, as of a date within 90 days prior to the filing date of this report, based on such</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reporting that occurred during the registrant's most recent fiscal quarter that has materially</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">affected, or is reasonably likely to materially affect, the registrant's internal control over financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">audit committee 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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">control over financial reporting which are reasonably likely to adversely affect the registrant's</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">ability to record, process, 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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">have a significant role in the registrant's internal control over financial reporting.</FONT></P>

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<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: July 26, 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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